WorldWideScience

Sample records for autoregressive modelling approach

  1. A graphical vector autoregressive modelling approach to the analysis of electronic diary data

    OpenAIRE

    Zipfel Stephan; Hartmann Mechthild; Friederich Hans-Christoph; Eichler Michael; Wild Beate; Herzog Wolfgang

    2010-01-01

    Abstract Background In recent years, electronic diaries are increasingly used in medical research and practice to investigate patients' processes and fluctuations in symptoms over time. To model dynamic dependence structures and feedback mechanisms between symptom-relevant variables, a multivariate time series method has to be applied. Methods We propose to analyse the temporal interrelationships among the variables by a structural modelling approach based on graphical vector autoregressive (...

  2. Bayesian Variable Selection in Spatial Autoregressive Models

    OpenAIRE

    Jesus Crespo Cuaresma; Philipp Piribauer

    2015-01-01

    This paper compares the performance of Bayesian variable selection approaches for spatial autoregressive models. We present two alternative approaches which can be implemented using Gibbs sampling methods in a straightforward way and allow us to deal with the problem of model uncertainty in spatial autoregressive models in a flexible and computationally efficient way. In a simulation study we show that the variable selection approaches tend to outperform existing Bayesian model averaging tech...

  3. A new approach to simulating stream isotope dynamics using Markov switching autoregressive models

    Science.gov (United States)

    Birkel, Christian; Paroli, Roberta; Spezia, Luigi; Dunn, Sarah M.; Tetzlaff, Doerthe; Soulsby, Chris

    2012-09-01

    In this study we applied Markov switching autoregressive models (MSARMs) as a proof-of-concept to analyze the temporal dynamics and statistical characteristics of the time series of two conservative water isotopes, deuterium (δ2H) and oxygen-18 (δ18O), in daily stream water samples over two years in a small catchment in eastern Scotland. MSARMs enabled us to explicitly account for the identified non-linear, non-Normal and non-stationary isotope dynamics of both time series. The hidden states of the Markov chain could also be associated with meteorological and hydrological drivers identifying the short (event) and longer-term (inter-event) transport mechanisms for both isotopes. Inference was based on the Bayesian approach performed through Markov Chain Monte Carlo algorithms, which also allowed us to deal with a high rate of missing values (17%). Although it is usually assumed that both isotopes are conservative and exhibit similar dynamics, δ18O showed somewhat different time series characteristics. Both isotopes were best modelled with two hidden states, but δ18O demanded autoregressions of the first order, whereas δ2H of the second. Moreover, both the dynamics of observations and the hidden states of the two isotopes were explained by two different sets of covariates. Consequently use of the two tracers for transit time modelling and hydrograph separation may result in different interpretations on the functioning of a catchment system.

  4. A graphical vector autoregressive modelling approach to the analysis of electronic diary data

    Directory of Open Access Journals (Sweden)

    Zipfel Stephan

    2010-04-01

    Full Text Available Abstract Background In recent years, electronic diaries are increasingly used in medical research and practice to investigate patients' processes and fluctuations in symptoms over time. To model dynamic dependence structures and feedback mechanisms between symptom-relevant variables, a multivariate time series method has to be applied. Methods We propose to analyse the temporal interrelationships among the variables by a structural modelling approach based on graphical vector autoregressive (VAR models. We give a comprehensive description of the underlying concepts and explain how the dependence structure can be recovered from electronic diary data by a search over suitable constrained (graphical VAR models. Results The graphical VAR approach is applied to the electronic diary data of 35 obese patients with and without binge eating disorder (BED. The dynamic relationships for the two subgroups between eating behaviour, depression, anxiety and eating control are visualized in two path diagrams. Results show that the two subgroups of obese patients with and without BED are distinguishable by the temporal patterns which influence their respective eating behaviours. Conclusion The use of the graphical VAR approach for the analysis of electronic diary data leads to a deeper insight into patient's dynamics and dependence structures. An increasing use of this modelling approach could lead to a better understanding of complex psychological and physiological mechanisms in different areas of medical care and research.

  5. A Deep and Autoregressive Approach for Topic Modeling of Multimodal Data.

    Science.gov (United States)

    Zheng, Yin; Zhang, Yu-Jin; Larochelle, Hugo

    2016-06-01

    Topic modeling based on latent Dirichlet allocation (LDA) has been a framework of choice to deal with multimodal data, such as in image annotation tasks. Another popular approach to model the multimodal data is through deep neural networks, such as the deep Boltzmann machine (DBM). Recently, a new type of topic model called the Document Neural Autoregressive Distribution Estimator (DocNADE) was proposed and demonstrated state-of-the-art performance for text document modeling. In this work, we show how to successfully apply and extend this model to multimodal data, such as simultaneous image classification and annotation. First, we propose SupDocNADE, a supervised extension of DocNADE, that increases the discriminative power of the learned hidden topic features and show how to employ it to learn a joint representation from image visual words, annotation words and class label information. We test our model on the LabelMe and UIUC-Sports data sets and show that it compares favorably to other topic models. Second, we propose a deep extension of our model and provide an efficient way of training the deep model. Experimental results show that our deep model outperforms its shallow version and reaches state-of-the-art performance on the Multimedia Information Retrieval (MIR) Flickr data set. PMID:26372202

  6. Estimation in autoregressive models with Markov regime

    OpenAIRE

    Ríos, Ricardo; Rodríguez, Luis

    2005-01-01

    In this paper we derive the consistency of the penalized likelihood method for the number state of the hidden Markov chain in autoregressive models with Markov regimen. Using a SAEM type algorithm to estimate the models parameters. We test the null hypothesis of hidden Markov Model against an autoregressive process with Markov regime.

  7. Nonlinear autoregressive models and long memory

    OpenAIRE

    Kapetanios, George

    2004-01-01

    This note shows that regime switching nonlinear autoregressive models widely used in the time series literature can exhibit arbitrary degrees of long memory via appropriate definition of the model regimes.

  8. A novel approach to equipment health management based on auto-regressive hidden semi-Markov model (AR-HSMM)

    Institute of Scientific and Technical Information of China (English)

    DONG Ming

    2008-01-01

    As a new maintenance method, CBM (condition based maintenance) is becoming more and more important for the health management of complicated and costly equipment. A prerequisite to widespread deployment of CBM technology and prac-tice in industry is effective diagnostics and prognostics. Recently, a pattern recog-nition technique called HMM (hidden Markov model) was widely used in many fields. However, due to some unrealistic assumptions, diagnositic results from HMM were not so good, and it was difficult to use HMM directly for prognosis. By relaxing the unrealistic assumptions in HMM, this paper presents a novel approach to equip-ment health management based on auto-regressive hidden semi-Markov model (AR-HSMM). Compared with HMM, AR-HSMM has three advantages: 1)It allows explicitly modeling the time duration of the hidden states and therefore is capable of prognosis. 2) It can relax observations' independence assumption by accom-modating a link between consecutive observations. 3) It does not follow the unre-alistic Markov chain's memoryless assumption and therefore provides more pow-erful modeling and analysis capability for real problems. To facilitate the computation in the proposed AR-HSMM-based diagnostics and prognostics, new forwardbackward variables are defined and a modified forward-backward algorithm is developed. The evaluation of the proposed methodology was carried out through a real world application case study: health diagnosis and prognosis of hydraulic pumps in Caterpillar Inc. The testing results show that the proposed new approach based on AR-HSMM is effective and can provide useful support for the decision-making in equipment health management.

  9. Cardiac arrhythmia classification using autoregressive modeling

    OpenAIRE

    Srinivasan Narayanan; Ge Dingfei; Krishnan Shankar M

    2002-01-01

    Abstract Background Computer-assisted arrhythmia recognition is critical for the management of cardiac disorders. Various techniques have been utilized to classify arrhythmias. Generally, these techniques classify two or three arrhythmias or have significantly large processing times. A simpler autoregressive modeling (AR) technique is proposed to classify normal sinus rhythm (NSR) and various cardiac arrhythmias including atrial premature contraction (APC), premature ventricular contraction (...

  10. Model selection in periodic autoregressions

    NARCIS (Netherlands)

    Ph.H.B.F. Franses (Philip Hans); R. Paap (Richard)

    1994-01-01

    textabstractThis paper focuses on the issue of period autoagressive time series models (PAR) selection in practice. One aspect of model selection is the choice for the appropriate PAR order. This can be of interest for the valuation of economic models. Further, the appropriate PAR order is important

  11. Modeling of non-stationary autoregressive alpha-stable processe

    Data.gov (United States)

    National Aeronautics and Space Administration — In the literature, impulsive signals are mostly modeled by symmetric alpha-stable processes. To represent their temporal dependencies, usually autoregressive models...

  12. Bias-correction in vector autoregressive models

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    2014-01-01

    We analyze the properties of various methods for bias-correcting parameter estimates in both stationary and non-stationary vector autoregressive models. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study...... improvement over ordinary least squares. We pay special attention to the risk of pushing an otherwise stationary model into the non-stationary region of the parameter space when correcting for bias. Finally, we consider a recently proposed reduced-bias weighted least squares estimator, and we find that it...

  13. Model reduction methods for vector autoregressive processes

    CERN Document Server

    Brüggemann, Ralf

    2004-01-01

    1. 1 Objective of the Study Vector autoregressive (VAR) models have become one of the dominant research tools in the analysis of macroeconomic time series during the last two decades. The great success of this modeling class started with Sims' (1980) critique of the traditional simultaneous equation models (SEM). Sims criticized the use of 'too many incredible restrictions' based on 'supposed a priori knowledge' in large scale macroeconometric models which were popular at that time. Therefore, he advo­ cated largely unrestricted reduced form multivariate time series models, unrestricted VAR models in particular. Ever since his influential paper these models have been employed extensively to characterize the underlying dynamics in systems of time series. In particular, tools to summarize the dynamic interaction between the system variables, such as impulse response analysis or forecast error variance decompo­ sitions, have been developed over the years. The econometrics of VAR models and related quantities i...

  14. The Determinants of U.S. Treasury Bill Rates: An Approach Based on A Vector Autoregressive Model (VAR)

    OpenAIRE

    Fadiga, Ismael Tanou

    2009-01-01

    This dissertation examines the determinants of U.S. Treasury bill rates based on vector autoregressions for the period 1959-2009. Our main conclusions are: (1) monetary base, inflation rate and output affect the dynamics of Treasury bill rates and those results are consistent with the theory in regards to the factors affecting yield curves. Accurately, we find that the growth rates of monetary base, inflation and output are all significant in explaining the growth of U.S. Treasury bill rates;...

  15. Bias-corrected estimation in potentially mildly explosive autoregressive models

    DEFF Research Database (Denmark)

    Haufmann, Hendrik; Kruse, Robinson

    This paper provides a comprehensive Monte Carlo comparison of different finite-sample bias-correction methods for autoregressive processes. We consider classic situations where the process is either stationary or exhibits a unit root. Importantly, the case of mildly explosive behaviour is studied...... indirect inference approach oers a valuable alternative to other existing techniques. Its performance (measured by its bias and root mean squared error) is balanced and highly competitive across many different settings. A clear advantage is its applicability for mildly explosive processes. In an empirical...... application to a long annual US Debt/GDP series we consider rolling window estimation of autoregressive models. We find substantial evidence for time-varying persistence and periods of explosiveness during the Civil War and World War II. During the recent years, the series is nearly explosive again. Further...

  16. Bidirectional Texture Function Simultaneous Autoregressive Model

    Czech Academy of Sciences Publication Activity Database

    Haindl, Michal; Havlíček, Michal

    Berlin: Springer, 2012, s. 149-159. (Lecture Notes in Computer Science. 7252). ISBN 978-3-642-32435-2. ISSN 0302-9743. [MUSCLE. Pisa (IT), 13.12.2011-15.12.2011] R&D Projects: GA MŠk 1M0572; GA ČR GA102/08/0593; GA ČR GAP103/11/0335 Grant ostatní: CESNET(CZ) 387/2010 Institutional support: RVO:67985556 Keywords : bidirectional texture function * texture analysis * texture synthesis * data compression * virtual reality Subject RIV: BD - Theory of Information http://library.utia.cas.cz/separaty/2012/RO/haindl-bidirectional texture function simultaneous autoregressive model.pdf

  17. Cardiac arrhythmia classification using autoregressive modeling

    Directory of Open Access Journals (Sweden)

    Srinivasan Narayanan

    2002-11-01

    Full Text Available Abstract Background Computer-assisted arrhythmia recognition is critical for the management of cardiac disorders. Various techniques have been utilized to classify arrhythmias. Generally, these techniques classify two or three arrhythmias or have significantly large processing times. A simpler autoregressive modeling (AR technique is proposed to classify normal sinus rhythm (NSR and various cardiac arrhythmias including atrial premature contraction (APC, premature ventricular contraction (PVC, superventricular tachycardia (SVT, ventricular tachycardia (VT and ventricular fibrillation (VF. Methods AR Modeling was performed on ECG data from normal sinus rhythm as well as various arrhythmias. The AR coefficients were computed using Burg's algorithm. The AR coefficients were classified using a generalized linear model (GLM based algorithm in various stages. Results AR modeling results showed that an order of four was sufficient for modeling the ECG signals. The accuracy of detecting NSR, APC, PVC, SVT, VT and VF were 93.2% to 100% using the GLM based classification algorithm. Conclusion The results show that AR modeling is useful for the classification of cardiac arrhythmias, with reasonably high accuracies. Further validation of the proposed technique will yield acceptable results for clinical implementation.

  18. Modeling non-Gaussian time-varying vector autoregressive process

    Data.gov (United States)

    National Aeronautics and Space Administration — We present a novel and general methodology for modeling time-varying vector autoregressive processes which are widely used in many areas such as modeling of...

  19. Inference of High-dimensional Autoregressive Generalized Linear Models

    OpenAIRE

    Hall, Eric C.; Raskutti, Garvesh; Willett, Rebecca

    2016-01-01

    Vector autoregressive models characterize a variety of time series in which linear combinations of current and past observations can be used to accurately predict future observations. For instance, each element of an observation vector could correspond to a different node in a network, and the parameters of an autoregressive model would correspond to the impact of the network structure on the time series evolution. Often these models are used successfully in practice to learn the structure of...

  20. UV Index Modeling by Autoregressive Distributed Lag (ADL Model)

    OpenAIRE

    Alexandre Boleira Lopo; Maria Helena Constantino Spyrides; Paulo Sérgio Lucio; Javier Sigró

    2014-01-01

    The objective of this work is to model statistically the ultraviolet radiation index (UV Index) to make forecast (extrapolate) and analyze trends. The task is relevant, due to increased UV flux and high rate of cases non-melanoma skin cancer in northeast of Brazil. The methodology utilized an Autoregressive Distributed Lag model (ADL) or Dynamic Linear Regression model. The monthly data of UV index were measured in east coast of the Brazilian Northeast (City of Natal-Rio G...

  1. A complex autoregressive model and application to monthly temperature forecasts

    Directory of Open Access Journals (Sweden)

    X. Gu

    2005-11-01

    Full Text Available A complex autoregressive model was established based on the mathematic derivation of the least squares for the complex number domain which is referred to as the complex least squares. The model is different from the conventional way that the real number and the imaginary number are separately calculated. An application of this new model shows a better forecast than forecasts from other conventional statistical models, in predicting monthly temperature anomalies in July at 160 meteorological stations in mainland China. The conventional statistical models include an autoregressive model, where the real number and the imaginary number are separately disposed, an autoregressive model in the real number domain, and a persistence-forecast model.

  2. Multiple phase derivative estimation using autoregressive modeling in holographic interferometry

    International Nuclear Information System (INIS)

    A novel technique is proposed for the direct and simultaneous estimation of multiple phase derivatives from a deformation modulated carrier fringe pattern in a multi-wave holographic interferometry set-up. The fringe intensity is represented as a spatially-varying autoregressive (SVAR) model. The spatially-varying coefficients of the SVAR model are derived using a forward–backward approach of linear estimation of the fringe intensity. Using these coefficients, the poles of the SVAR model transfer function are computed and the angles of these poles provide the estimation of phase derivatives. The estimation of carrier frequency is performed by the proposed method using a reference interferogram. Simulation results are provided in the presence of noise and fringe amplitude modulation. (paper)

  3. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d-b; where d ≥ b > 1/2 are parameters to be estimated. We model the data X1,...,XT given the initial val...

  4. Likelihood Inference for a Nonstationary Fractional Autoregressive Model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    This paper discusses model based inference in an autoregressive model for fractional processes based on the Gaussian likelihood. The model allows for the process to be fractional of order d or d - b; where d = b > 1/2 are parameters to be estimated. We model the data X¿, ..., X¿ given the initial...

  5. Modelling cointegration in the vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren

    2000-01-01

    A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegratin...... relations can be estimated under suitable identification conditions. The asymptotic theory is briefly mentioned and a few economic applications of the cointegration model are indicated.......A survey is given of some results obtained for the cointegrated VAR. The Granger representation theorem is discussed and the notions of cointegration and common trends are defined. The statistical model for cointegrated I(1) variables is defined, and it is shown how hypotheses on the cointegrating...

  6. Modeling Autoregressive Processes with Moving-Quantiles-Implied Nonlinearity

    Directory of Open Access Journals (Sweden)

    Isao Ishida

    2015-01-01

    Full Text Available We introduce and investigate some properties of a class of nonlinear time series models based on the moving sample quantiles in the autoregressive data generating process. We derive a test fit to detect this type of nonlinearity. Using the daily realized volatility data of Standard & Poor’s 500 (S&P 500 and several other indices, we obtained good performance using these models in an out-of-sample forecasting exercise compared with the forecasts obtained based on the usual linear heterogeneous autoregressive and other models of realized volatility.

  7. An autoregressive growth model for longitudinal item analysis.

    Science.gov (United States)

    Jeon, Minjeong; Rabe-Hesketh, Sophia

    2016-09-01

    A first-order autoregressive growth model is proposed for longitudinal binary item analysis where responses to the same items are conditionally dependent across time given the latent traits. Specifically, the item response probability for a given item at a given time depends on the latent trait as well as the response to the same item at the previous time, or the lagged response. An initial conditions problem arises because there is no lagged response at the initial time period. We handle this problem by adapting solutions proposed for dynamic models in panel data econometrics. Asymptotic and finite sample power for the autoregressive parameters are investigated. The consequences of ignoring local dependence and the initial conditions problem are also examined for data simulated from a first-order autoregressive growth model. The proposed methods are applied to longitudinal data on Korean students' self-esteem. PMID:26645083

  8. Likelihood inference for a nonstationary fractional autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Ørregård Nielsen, Morten

    2010-01-01

    This paper discusses model-based inference in an autoregressive model for fractional processes which allows the process to be fractional of order d or d-b. Fractional differencing involves infinitely many past values and because we are interested in nonstationary processes we model the data X1,.....

  9. Drought Patterns Forecasting using an Auto-Regressive Logistic Model

    Science.gov (United States)

    del Jesus, M.; Sheffield, J.; Méndez Incera, F. J.; Losada, I. J.; Espejo, A.

    2014-12-01

    Drought is characterized by a water deficit that may manifest across a large range of spatial and temporal scales. Drought may create important socio-economic consequences, many times of catastrophic dimensions. A quantifiable definition of drought is elusive because depending on its impacts, consequences and generation mechanism, different water deficit periods may be identified as a drought by virtue of some definitions but not by others. Droughts are linked to the water cycle and, although a climate change signal may not have emerged yet, they are also intimately linked to climate.In this work we develop an auto-regressive logistic model for drought prediction at different temporal scales that makes use of a spatially explicit framework. Our model allows to include covariates, continuous or categorical, to improve the performance of the auto-regressive component.Our approach makes use of dimensionality reduction (principal component analysis) and classification techniques (K-Means and maximum dissimilarity) to simplify the representation of complex climatic patterns, such as sea surface temperature (SST) and sea level pressure (SLP), while including information on their spatial structure, i.e. considering their spatial patterns. This procedure allows us to include in the analysis multivariate representation of complex climatic phenomena, as the El Niño-Southern Oscillation. We also explore the impact of other climate-related variables such as sun spots. The model allows to quantify the uncertainty of the forecasts and can be easily adapted to make predictions under future climatic scenarios. The framework herein presented may be extended to other applications such as flash flood analysis, or risk assessment of natural hazards.

  10. The cointegrated vector autoregressive model with general deterministic terms

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    In the cointegrated vector autoregression (CVAR) literature, deterministic terms have until now been analyzed on a case-by-case, or as-needed basis. We give a comprehensive unified treatment of deterministic terms in the additive model X(t)= Z(t) + Y(t), where Z(t) belongs to a large class...

  11. Nonlinear autoregressive models with heavy-tailed innovation

    Institute of Scientific and Technical Information of China (English)

    JIN Yang; AN Hongzhi

    2005-01-01

    In this paper, we discuss the relationship between the stationary marginal tail probability and the innovation's tail probability of nonlJnear autoregressive models. We show that under certain conditions that ensure the stationarity and ergodicity, one dimension stationary marginal distribution has the heavy-tailed probability property with the same index as that of the innovation's tail probability.

  12. Price and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL) Approach

    OpenAIRE

    Helen Higgs; Andrew C. Worthington

    2014-01-01

    This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL) approach. We particularly focus on the impact of the global financial crisis (GFC) from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets): owneroccupied housing loans (Sep 1985–June 2010), term loans (for motor vehicles, household goods and debt consolidation, etc.) (Dec 1988–Jun 2010), cre...

  13. Forecasting with time-varying vector autoregressive models

    OpenAIRE

    Triantafyllopoulos, K.

    2008-01-01

    The purpose of this paper is to propose a time-varying vector autoregressive model (TV-VAR) for forecasting multivariate time series. The model is casted into a state-space form that allows flexible description and analysis. The volatility covariance matrix of the time series is modelled via inverted Wishart and singular multivariate beta distributions allowing a fully conjugate Bayesian inference. Model performance and model comparison is done via the likelihood function, sequential Bayes fa...

  14. Stock price forecasting: autoregressive modelling and fuzzy neural network

    OpenAIRE

    Marcek, Dusan

    2000-01-01

    Most models for the time series of stock prices have centered on autoregressive (AR) processes. Traditionaly, fundamantal Box-Jenkins analysis [3] have been the mainstream methodology used to develop time series models. Next, we briefly describe the develop a classical AR model for stock price forecasting. Then a fuzzy regression model is then introduced Following this description, an artificial fuzzy neural network based on B-spline member ship function is presented as an alternative to ...

  15. Asymptotic behavior of CLS estimator of autoregressive parameter for nonprimitive unstable INAR(2) models

    CERN Document Server

    Barczy, Matyas; Pap, Gyula

    2010-01-01

    In this paper the asymptotic behavior of conditional least squares estimators of the autoregressive parameter for nonprimitive unstable integer-valued autoregressive models of order 2 (INAR(2)) is described.

  16. Single-Index Additive Vector Autoregressive Time Series Models

    KAUST Repository

    LI, YEHUA

    2009-09-01

    We study a new class of nonlinear autoregressive models for vector time series, where the current vector depends on single-indexes defined on the past lags and the effects of different lags have an additive form. A sufficient condition is provided for stationarity of such models. We also study estimation of the proposed model using P-splines, hypothesis testing, asymptotics, selection of the order of the autoregression and of the smoothing parameters and nonlinear forecasting. We perform simulation experiments to evaluate our model in various settings. We illustrate our methodology on a climate data set and show that our model provides more accurate yearly forecasts of the El Niño phenomenon, the unusual warming of water in the Pacific Ocean. © 2009 Board of the Foundation of the Scandinavian Journal of Statistics.

  17. CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model

    DEFF Research Database (Denmark)

    Dyrholm, Mads; Hansen, Lars Kai

    2004-01-01

    We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least square...... estimation. We demonstrate the method on synthetic data and finally separate speech and music in a real room recording....

  18. Testing exact rational expectations in cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    Johansen, Søren; Swensen, Anders Rygh

    1999-01-01

    This paper considers the testing of restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables. If the rational expectations involve one-step-ahead observations only and the coefficients are known, an explicit parameterization of the ...... restrictions is found, and the maximum-likelihood estimator is derived by regression and reduced rank regression. An application is given to a present value model....

  19. CICAAR - Convolutive ICA with an Auto-Regressive Inverse Model

    OpenAIRE

    Dyrholm, Mads; Hansen, Lars Kai

    2004-01-01

    We invoke an auto-regressive IIR inverse model for convolutive ICA and derive expressions for the likelihood and its gradient. We argue that optimization will give a stable inverse. When there are more sensors than sources the mixing model parameters are estimated in a second step by least squares estimation. We demonstrate the method on synthetic data and finally separate speech and music in a real room recording.

  20. Nonlinear models for autoregressive conditional heteroskedasticity

    DEFF Research Database (Denmark)

    Teräsvirta, Timo

    This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are...... discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention....

  1. Nonlinear models for autoregressive conditional heteroskedasticity

    OpenAIRE

    Teräsvirta, Timo

    2011-01-01

    This paper contains a brief survey of nonlinear models of autore- gressive conditional heteroskedasticity. The models in question are parametric nonlinear extensions of the original model by Engle (1982). After presenting the individual models, linearity testing and parameter estimation are discussed. Forecasting volatility with nonlinear models is considered. Finally, parametric nonlinear models based on multi- plicative decomposition of the variance receive attention.

  2. Adaptive Estimation of Autoregressive Models with Time-Varying Variances

    OpenAIRE

    Ke-Li Xu; Phillips, Peter C. B.

    2006-01-01

    Stable autoregressive models of known finite order are considered with martingale differences errors scaled by an unknown nonparametric time-varying function generating heterogeneity. An important special case involves structural change in the error variance, but in most practical cases the pattern of variance change over time is unknown and may involve shifts at unknown discrete points in time, continuous evolution or combinations of the two. This paper develops kernel-based estimators of th...

  3. Bias-correction in vector autoregressive models: A simulation study

    DEFF Research Database (Denmark)

    Engsted, Tom; Pedersen, Thomas Quistgaard

    We analyze and compare the properties of various methods for bias-correcting parameter estimates in vector autoregressions. First, we show that two analytical bias formulas from the existing literature are in fact identical. Next, based on a detailed simulation study, we show that this simple and...... pushing an otherwise stationary model into the non-stationary region of the parameter space during the process of correcting for bias....

  4. Analysis of nonlinear systems using ARMA [autoregressive moving average] models

    International Nuclear Information System (INIS)

    While many vibration systems exhibit primarily linear behavior, a significant percentage of the systems encountered in vibration and model testing are mildly to severely nonlinear. Analysis methods for such nonlinear systems are not yet well developed and the response of such systems is not accurately predicted by linear models. Nonlinear ARMA (autoregressive moving average) models are one method for the analysis and response prediction of nonlinear vibratory systems. In this paper we review the background of linear and nonlinear ARMA models, and illustrate the application of these models to nonlinear vibration systems. We conclude by summarizing the advantages and disadvantages of ARMA models and emphasizing prospects for future development. 14 refs., 11 figs

  5. Mixture latent autoregressive models for longitudinal data

    CERN Document Server

    Bartolucci, Francesco; Pennoni, Fulvia

    2011-01-01

    Many relevant statistical and econometric models for the analysis of longitudinal data include a latent process to account for the unobserved heterogeneity between subjects in a dynamic fashion. Such a process may be continuous (typically an AR(1)) or discrete (typically a Markov chain). In this paper, we propose a model for longitudinal data which is based on a mixture of AR(1) processes with different means and correlation coefficients, but with equal variances. This model belongs to the class of models based on a continuous latent process, and then it has a natural interpretation in many contexts of application, but it is more flexible than other models in this class, reaching a goodness-of-fit similar to that of a discrete latent process model, with a reduced number of parameters. We show how to perform maximum likelihood estimation of the proposed model by the joint use of an Expectation-Maximisation algorithm and a Newton-Raphson algorithm, implemented by means of recursions developed in the hidden Mark...

  6. Planetary Kp index forecast using autoregressive models

    CERN Document Server

    Gonzalez, Arian Ojeda; Odriozola, Siomel Savio; Rosa, Reinaldo Roberto; Mendes, Odim

    2014-01-01

    The geomagnetic Kp index is derived from the K index measurements obtained from thirteen stations located around the Earth geomagnetic latitudes between $48^\\circ$ and $63^\\circ$. This index is processed every three hours, is quasi-logarithmic and estimates the geomagnetic activity. The Kp values fall within a range of 0 to 9 and are organized as a set of 28 discrete values. The data set is important because it is used as one of the many input parameters of magnetospheric and ionospheric models. The objective of this work is to use historical data from the Kp index to develop a methodology to make a prediction in a time interval of at least three hours. Five different models to forecast geomagnetic indices Kp and ap are tested. Time series of values of Kp index from 1932 to 15/12/2012 at 21:00 UT are used as input to the models. The purpose of the model is to predict the three measured values after the last measured value of the Kp index (it means the next 9 hours values). The AR model provides the lowest com...

  7. AUTOREGRESSIVE MODELLING OF MONTHLY RAINFALL IN SAKARYA BASIN

    Directory of Open Access Journals (Sweden)

    Meral BÜYÜKYILDIZ

    2006-01-01

    Full Text Available In this study, periodic autoregressive models were established to predict future behaviour of monthly rainfall data of Sakarya Basin which is one of the big and important basin in Turkey. Mathematical equations of the Periodic Autoregressive Models (PAR were also determined. Optimum models were selected based on Akaike Information Criterion (AIC. Although the parameters are calculated according to "maximum probability method" in AIC, "moments method" was used in this study; the comparison of the results of both mentioned parameter estimation methods was thought to be considered in another study's scope. The Port Manteau lack of fit test for the selected models have indicated that residuals are white noise. By using the selected models for the stations, 50 set of synthetic series which have the same length with the historical series for the monthly average rainfalls have been generated, and statistical characteristics (mean, standard deviation, autocorrelation structure of these synthetic series have been compared with statistical characteristics of historical series. By determining the stochastic models of monthly average rainfall of 25 stations, 4 different PAR models were obtained, namely as PAR(0, PAR(1, PAR(2 and PAR(3.

  8. Temporal aggregation in first order cointegrated vector autoregressive models

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline...

  9. The Turn-of-the-Month-Effect: Evidence from Periodic Generalized Autoregressive Conditional Heteroskedasticity (PGARCH) Model

    OpenAIRE

    Eleftherios Giovanis

    2014-01-01

    The current study examines the turn of the month effect on stock returns in 20 countries. This will allow us to explore whether the seasonal patterns usually found in global data; America, Australia, Europe and Asia. Ordinary Least Squares (OLS) is problematic as it leads to unreliable estimations; because of the autocorrelation and Autoregressive Conditional Heteroskedasticity (ARCH) effects existence. For this reason Generalized GARCH models are estimated. Two approaches are followed. The f...

  10. Efficient Market Hypothesis in South Africa: Evidence from a threshold autoregressive (TAR) model

    OpenAIRE

    Van Heerden, Dorathea; Rodrigues, Jose; Hockly, Dale; Lambert, Bongani; Taljard, Tjaart; Phiri, Andrew

    2013-01-01

    This study deviates from the conventional use of a linear approach in testing for the efficiency market hypothesis (EMH) for the Johannesburg Stock Exchange (JSE) between the periods 2001:01 to 2013:07. By making use of a threshold autoregressive (TAR) model and corresponding asymmetric unit root tests, our study demonstrates how the stock market indexes evolve as highly persistent, nonlinear process and yet for a majority of the time series under observation, the formal unit root tests rejec...

  11. Probing turbulence intermittency via Auto-Regressive Moving-Average models

    CERN Document Server

    Faranda, Davide; Dubrulle, Berengere; Daviaud, Francois

    2014-01-01

    We suggest a new approach to probing intermittency corrections to the Kolmogorov law in turbulent flows based on the Auto-Regressive Moving-Average modeling of turbulent time series. We introduce a new index $\\Upsilon$ that measures the distance from a Kolmogorov-Obukhov model in the Auto-Regressive Moving-Average models space. Applying our analysis to Particle Image Velocimetry and Laser Doppler Velocimetry measurements in a von K\\'arm\\'an swirling flow, we show that $\\Upsilon$ is proportional to the traditional intermittency correction computed from the structure function. Therefore it provides the same information, using much shorter time series. We conclude that $\\Upsilon$ is a suitable index to reconstruct the spatial intermittency of the dissipation in both numerical and experimental turbulent fields.

  12. The macroeconomic forecasting performance of autoregressive models with alternative specifications of time-varying volatility

    OpenAIRE

    CLARK, Todd E.; Francesco Ravazzolo

    2012-01-01

    This paper compares alternative models of time-varying macroeconomic volatility on the basis of the accuracy of point and density forecasts of macroeconomic variables. In this analysis, we consider both Bayesian autoregressive and Bayesian vector autoregressive models that incorporate some form of time-varying volatility, precisely stochastic volatility (both with constant and time-varying autoregressive coeffi cients), stochastic volatility following a stationary AR process, stochastic volat...

  13. Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)

    DEFF Research Database (Denmark)

    Agosto, Arianna; Cavaliere, Guiseppe; Kristensen, Dennis;

    We develop a class of Poisson autoregressive models with additional covariates (PARX) that can be used to model and forecast time series of counts. We establish the time series properties of the models, including conditions for stationarity and existence of moments. These results are in turn used...... in the analysis of the asympotic properties of the maximum-likelihood estimators of the models. The PARX class of models is used to analyse the time series properties of monthly corporate defaults in the US in the period 1982-2011 using financial and economic variables as exogeneous covariates...... years economic and financial factors at the macro level are capable to explain a large portion of the correlation of US firms defaults over time....

  14. Likelihood inference for a fractionally cointegrated vector autoregressive model

    DEFF Research Database (Denmark)

    Johansen, Søren; Nielsen, Morten Ørregaard

    We consider model based inference in a fractionally cointegrated (or cofractional) vector autoregressive model based on the conditional Gaussian likelihood. The model allows the process X_{t} to be fractional of order d and cofractional of order d-b; that is, there exist vectors β for which β......′X_{t} is fractional of order d-b. The parameters d and b satisfy either d≥b≥1/2, d=b≥1/2, or d=d_{0}≥b≥1/2. Our main technical contribution is the proof of consistency of the maximum likelihood estimators on the set 1/2≤b≤d≤d_{1} for any d_{1}≥d_{0}. To this end, we consider the conditional likelihood as a...... Gaussian. We also find the asymptotic distribution of the likelihood ratio test for cointegration rank, which is a functional of fractional Brownian motion of type II....

  15. Implementing Modifed Burg Algorithms in Multivariate Subset Autoregressive Modeling

    Directory of Open Access Journals (Sweden)

    A. Alexandre Trindade

    2003-02-01

    Full Text Available The large number of parameters in subset vector autoregressive models often leads one to procure fast, simple, and efficient alternatives or precursors to maximum likelihood estimation. We present the solution of the multivariate subset Yule-Walker equations as one such alternative. In recent work, Brockwell, Dahlhaus, and Trindade (2002, show that the Yule-Walker estimators can actually be obtained as a special case of a general recursive Burg-type algorithm. We illustrate the structure of this Algorithm, and discuss its implementation in a high-level programming language. Applications of the Algorithm in univariate and bivariate modeling are showcased in examples. Univariate and bivariate versions of the Algorithm written in Fortran 90 are included in the appendix, and their use illustrated.

  16. Recession and Recovery in the United Kingdom in the 1990'+L927s; A Vector Autoregression Approach

    OpenAIRE

    Luis Catão; Ramana Ramaswamy

    1995-01-01

    This paper uses a vector autoregression (VAR) approach to identify the causes of the 1990-92 recession in the UK. The VAR approach is shown to be particularly pertinent for quantifying the relative magnitude of the different demand shocks, and in decomposing them into monetary and expectational factors. The main finding is that the recent recession was precipitated primarily by shocks to consumption, and that monetary factors explain just part of this contraction. The VAR model also offers in...

  17. Testing stability in a spatial unilateral autoregressive model

    CERN Document Server

    Baran, Sándor; Sikolya, Kinga

    2012-01-01

    Least squares estimator of the stability parameter $\\varrho := |\\alpha| + |\\beta|$ for a spatial unilateral autoregressive process $X_{k,\\ell}=\\alpha X_{k-1,\\ell}+\\beta X_{k,\\ell-1}+\\varepsilon_{k,\\ell}$ is investigated. Asymptotic normality with a scaling factor $n^{5/4}$ is shown in the unstable case, i.e., when $\\varrho = 1$, in contrast to the AR(p) model $X_k=\\alpha_1 X_{k-1}+... +\\alpha_p X_{k-p}+ \\varepsilon_k$, where the least squares estimator of the stability parameter $\\varrho :=\\alpha_1 + ... + \\alpha_p$ is not asymptotically normal in the unstable, i.e., in the unit root case.

  18. Parameter estimation in a spatial unit root autoregressive model

    CERN Document Server

    Baran, Sándor

    2011-01-01

    Spatial autoregressive model $X_{k,\\ell}=\\alpha X_{k-1,\\ell}+\\beta X_{k,\\ell-1}+\\gamma X_{k-1,\\ell-1}+\\epsilon_{k,\\ell}$ is investigated in the unit root case, that is when the parameters are on the boundary of the domain of stability that forms a tetrahedron with vertices $(1,1,-1), \\ (1,-1,1),\\ (-1,1,1)$ and $(-1,-1,-1)$. It is shown that the limiting distribution of the least squares estimator of the parameters is normal and the rate of convergence is $n$ when the parameters are in the faces or on the edges of the tetrahedron, while on the vertices the rate is $n^{3/2}$.

  19. Identification of Input Nonlinear Control Autoregressive Systems Using Fractional Signal Processing Approach

    Directory of Open Access Journals (Sweden)

    Naveed Ishtiaq Chaudhary

    2013-01-01

    Full Text Available A novel algorithm is developed based on fractional signal processing approach for parameter estimation of input nonlinear control autoregressive (INCAR models. The design scheme consists of parameterization of INCAR systems to obtain linear-in-parameter models and to use fractional least mean square algorithm (FLMS for adaptation of unknown parameter vectors. The performance analyses of the proposed scheme are carried out with third-order Volterra least mean square (VLMS and kernel least mean square (KLMS algorithms based on convergence to the true values of INCAR systems. It is found that the proposed FLMS algorithm provides most accurate and convergent results than those of VLMS and KLMS under different scenarios and by taking the low-to-high signal-to-noise ratio.

  20. Identification of Input Nonlinear Control Autoregressive Systems Using Fractional Signal Processing Approach

    Science.gov (United States)

    Chaudhary, Naveed Ishtiaq; Raja, Muhammad Asif Zahoor; Khan, Junaid Ali; Aslam, Muhammad Saeed

    2013-01-01

    A novel algorithm is developed based on fractional signal processing approach for parameter estimation of input nonlinear control autoregressive (INCAR) models. The design scheme consists of parameterization of INCAR systems to obtain linear-in-parameter models and to use fractional least mean square algorithm (FLMS) for adaptation of unknown parameter vectors. The performance analyses of the proposed scheme are carried out with third-order Volterra least mean square (VLMS) and kernel least mean square (KLMS) algorithms based on convergence to the true values of INCAR systems. It is found that the proposed FLMS algorithm provides most accurate and convergent results than those of VLMS and KLMS under different scenarios and by taking the low-to-high signal-to-noise ratio. PMID:23853538

  1. A fuzzy-autoregressive model of daily river flows

    Science.gov (United States)

    Greco, Roberto

    2012-06-01

    A model for the identification of daily river flows has been developed, consisting of the combination of an autoregressive model with a fuzzy inference system. The AR model is devoted to the identification of base flow, supposed to be described by linear laws. The fuzzy model identifies the surface runoff, by applying a small set of linguistic statements, deriving from the knowledge of the physical features of the nonlinear rainfall-runoff transformation, to the inflow entering the river basin. The model has been applied to the identification of the daily flow series of river Volturno at Cancello-Arnone (Southern Italy), with a drainage basin of around 5560 km2, observed between 1970 and 1974. The inflow was estimated on the basis of daily precipitations registered during the same years at six rain gauges located throughout the basin. The first two years were used for model training, the remaining three for the validation. The obtained results show that the proposed model provides good predictions of either low river flows or high floods, although the analysis of residuals, which do not turn out to be a white noise, indicates that the cause and effect relationship between rainfall and runoff is not completely identified by the model.

  2. Recursive wind speed forecasting based on Hammerstein Auto-Regressive model

    International Nuclear Information System (INIS)

    Highlights: • Developed a new recursive WSF model for 1–24 h horizon based on Hammerstein model. • Nonlinear HAR model successfully captured chaotic dynamics of wind speed time series. • Recursive WSF intrinsic error accumulation corrected by applying rotation. • Model verified for real wind speed data from two sites with different characteristics. • HAR model outperformed both ARIMA and ANN models in terms of accuracy of prediction. - Abstract: A new Wind Speed Forecasting (WSF) model, suitable for a short term 1–24 h forecast horizon, is developed by adapting Hammerstein model to an Autoregressive approach. The model is applied to real data collected for a period of three years (2004–2006) from two different sites. The performance of HAR model is evaluated by comparing its prediction with the classical Autoregressive Integrated Moving Average (ARIMA) model and a multi-layer perceptron Artificial Neural Network (ANN). Results show that the HAR model outperforms both the ARIMA model and ANN model in terms of root mean square error (RMSE), mean absolute error (MAE), and Mean Absolute Percentage Error (MAPE). When compared to the conventional models, the new HAR model can better capture various wind speed characteristics, including asymmetric (non-gaussian) wind speed distribution, non-stationary time series profile, and the chaotic dynamics. The new model is beneficial for various applications in the renewable energy area, particularly for power scheduling

  3. The comparison study among several data transformations in autoregressive modeling

    Science.gov (United States)

    Setiyowati, Susi; Waluyo, Ramdhani Try

    2015-12-01

    In finance, the adjusted close of stocks are used to observe the performance of a company. The extreme prices, which may increase or decrease drastically, are often become particular concerned since it can impact to bankruptcy. As preventing action, the investors have to observe the future (forecasting) stock prices comprehensively. For that purpose, time series analysis could be one of statistical methods that can be implemented, for both stationary and non-stationary processes. Since the variability process of stocks prices tend to large and also most of time the extreme values are always exist, then it is necessary to do data transformation so that the time series models, i.e. autoregressive model, could be applied appropriately. One of popular data transformation in finance is return model, in addition to ratio of logarithm and some others Tukey ladder transformation. In this paper these transformations are applied to AR stationary models and non-stationary ARCH and GARCH models through some simulations with varying parameters. As results, this work present the suggestion table that shows transformations behavior for some condition of parameters and models. It is confirmed that the better transformation is obtained, depends on type of data distributions. In other hands, the parameter conditions term give significant influence either.

  4. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbek, Anders Christian; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, implying an interpretation as an integer valued GARCH process. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model for time...

  5. Poisson Autoregression

    DEFF Research Database (Denmark)

    Fokianos, Konstantinos; Rahbæk, Anders; Tjøstheim, Dag

    This paper considers geometric ergodicity and likelihood based inference for linear and nonlinear Poisson autoregressions. In the linear case the conditional mean is linked linearly to its past values as well as the observed values of the Poisson process. This also applies to the conditional...... variance, making an interpretation as an integer valued GARCH process possible. In a nonlinear conditional Poisson model, the conditional mean is a nonlinear function of its past values and a nonlinear function of past observations. As a particular example an exponential autoregressive Poisson model for...

  6. Dealing with Multiple Solutions in Structural Vector Autoregressive Models.

    Science.gov (United States)

    Beltz, Adriene M; Molenaar, Peter C M

    2016-01-01

    Structural vector autoregressive models (VARs) hold great potential for psychological science, particularly for time series data analysis. They capture the magnitude, direction of influence, and temporal (lagged and contemporaneous) nature of relations among variables. Unified structural equation modeling (uSEM) is an optimal structural VAR instantiation, according to large-scale simulation studies, and it is implemented within an SEM framework. However, little is known about the uniqueness of uSEM results. Thus, the goal of this study was to investigate whether multiple solutions result from uSEM analysis and, if so, to demonstrate ways to select an optimal solution. This was accomplished with two simulated data sets, an empirical data set concerning children's dyadic play, and modifications to the group iterative multiple model estimation (GIMME) program, which implements uSEMs with group- and individual-level relations in a data-driven manner. Results revealed multiple solutions when there were large contemporaneous relations among variables. Results also verified several ways to select the correct solution when the complete solution set was generated, such as the use of cross-validation, maximum standardized residuals, and information criteria. This work has immediate and direct implications for the analysis of time series data and for the inferences drawn from those data concerning human behavior. PMID:27093380

  7. A Score Type Test for General Autoregressive Models in Time Series

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu

    2007-01-01

    This paper is devoted to the goodness-of-fit test for the general autoregressive models in time series. By averaging for the weighted residuals, we construct a score type test which is asymptotically standard chi-squared under the null and has some desirable power properties under the alternatives. Specifically, the test is sensitive to alternatives and can detect the alternatives approaching, along a direction, the null at a rate that is arbitrarily close to n-1/2. Furthermore, when the alternatives are not directional, we construct asymptotically distribution-free maximin tests for a large class of alternatives. The performance of the tests is evaluated through simulation studies.

  8. Robust nonlinear autoregressive moving average model parameter estimation using stochastic recurrent artificial neural networks

    DEFF Research Database (Denmark)

    Chon, K H; Hoyer, D; Armoundas, A A; Holstein-Rathlou, N H; Marsh, D J

    1999-01-01

    In this study, we introduce a new approach for estimating linear and nonlinear stochastic autoregressive moving average (ARMA) model parameters, given a corrupt signal, using artificial recurrent neural networks. This new approach is a two-step approach in which the parameters of the deterministic...... part of the stochastic ARMA model are first estimated via a three-layer artificial neural network (deterministic estimation step) and then reestimated using the prediction error as one of the inputs to the artificial neural networks in an iterative algorithm (stochastic estimation step). The prediction...... error is obtained by subtracting the corrupt signal of the estimated ARMA model obtained via the deterministic estimation step from the system output response. We present computer simulation examples to show the efficacy of the proposed stochastic recurrent neural network approach in obtaining accurate...

  9. A Note on Parameter Estimations of Panel Vector Autoregressive Models with Intercorrelation

    Institute of Scientific and Technical Information of China (English)

    Jian-hong Wu; Li-xing Zhu; Zai-xing Li

    2009-01-01

    This note considers parameter estimation for panel vector autoregressive models with intercorrela-tion. Conditional least squares estimators are derived and the asymptotic normality is established. A simulation is carried out for illustration.

  10. A revival of the autoregressive distributed lag model in estimating energy demand relationships

    Energy Technology Data Exchange (ETDEWEB)

    Bentzen, J.; Engsted, T.

    1999-07-01

    The findings in the recent energy economics literature that energy economic variables are non-stationary, have led to an implicit or explicit dismissal of the standard autoregressive distribution lag (ARDL) model in estimating energy demand relationships. However, Pesaran and Shin (1997) show that the ARDL model remains valid when the underlying variables are non-stationary, provided the variables are co-integrated. In this paper we use the ARDL approach to estimate a demand relationship for Danish residential energy consumption, and the ARDL estimates are compared to the estimates obtained using co-integration techniques and error-correction models (ECM's). It turns out that both quantitatively and qualitatively, the ARDL approach and the co-integration/ECM approach give very similar results. (au)

  11. Bayesian forecasting of temporal gene expression by using an autoregressive panel data approach.

    Science.gov (United States)

    Nascimento, M; E Silva, F F; Sáfadi, T; Nascimento, A C C; Barroso, L M A; Glória, L S; de S Carvalho, B

    2016-01-01

    We propose and evaluate a novel approach for forecasting gene expression over non-observed times in longitudinal trials under a Bayesian viewpoint. One of the aims is to cluster genes that share similar expression patterns over time and then use this similarity to predict relative expression at time points of interest. Expression values of 106 genes expressed during the cell cycle of Saccharomyces cerevisiae were used and genes were partitioned into five distinct clusters of sizes 33, 32, 21, 16, and 4. After removing the last observed time point, the agreements of signals (upregulated or downregulated) considering the predicted expression level were 72.7, 81.3, 76.2, 68.8, and 50.0%, respectively, for each cluster. The percentage of credibility intervals that contained the true values of gene expression for a future time was ~90%. The methodology performed well, providing a valid forecast of gene expression values by fitting an autoregressive panel data model. This approach is easily implemented with other time-series models and when Poisson and negative binomial probability distributions are assumed for the gene expression data. PMID:27323205

  12. Interest rate pass-through estimates from vector autoregressive models

    OpenAIRE

    Burgstaller, Johann

    2005-01-01

    The empirical literature on interest rate transmission presents diverse and sometimes conflicting estimates. By discussing methodological and specification-related issues, the results of this paper contribute to the understanding of these differences. Eleven Austrian bank lending and deposit rates are utilized to illustrate the pass-through of impulses from monetary policy and banks’ cost of funds. Results from vector autoregressions suggest that the long-run pass-through is higher for moveme...

  13. Energy markets and CO2 emissions: Analysis by stochastic copula autoregressive model

    International Nuclear Information System (INIS)

    We examine the dependence between the volatility of the prices of the carbon dioxide “CO2” emissions with the volatility of one of their fundamental components, the energy prices. The dependence between the returns will be approached by a particular class of copula, the SCAR (Stochastic Autoregressive) Copulas, which is a time varying copula that was first introduced by Hafner and Manner (2012) [1] in which the parameter driving the dynamic of the copula follows a stochastic autoregressive process. The standard likelihood method will be used together with EIS (Efficient Importance Sampling) method, to evaluate the integral with a large dimension in the expression of the likelihood function. The main result suggests that the dynamics of the dependence between the volatility of the CO2 emission prices and the volatility of energy returns, coal, natural gas and Brent oil prices, do vary over time, although not much in stable periods but rise noticeably during the period of crisis and turmoils. - Highlights: • We examine the dependence between the volatility of CO2 emissions and energy prices. • The dependence will be measured by the dynamic SCAR copula pair by pair. • To model the marginal distributions of the variables, we use the GAS model. • To evaluate high dimensional integral in the likelihood function we use EIS method. • The dependence is dynamic and varies over time especially in period of crisis

  14. Bayesian analysis of the predictive power of the yield curve using a vector autoregressive model with multiple structural breaks

    OpenAIRE

    Katsuhiro Sugita

    2015-01-01

    In this paper we analyze the predictive power of the yield curve on output growth using a vector autoregressive model with multiple structural breaks in the intercept term and the volatility. To estimate the model and to detect the number of breaks, we apply a Bayesian approach with Markov chain Monte Carlo algorithm. We find strong evidence of three structural breaks using the US data.

  15. Self-organising mixture autoregressive model for non-stationary time series modelling.

    Science.gov (United States)

    Ni, He; Yin, Hujun

    2008-12-01

    Modelling non-stationary time series has been a difficult task for both parametric and nonparametric methods. One promising solution is to combine the flexibility of nonparametric models with the simplicity of parametric models. In this paper, the self-organising mixture autoregressive (SOMAR) network is adopted as a such mixture model. It breaks time series into underlying segments and at the same time fits local linear regressive models to the clusters of segments. In such a way, a global non-stationary time series is represented by a dynamic set of local linear regressive models. Neural gas is used for a more flexible structure of the mixture model. Furthermore, a new similarity measure has been introduced in the self-organising network to better quantify the similarity of time series segments. The network can be used naturally in modelling and forecasting non-stationary time series. Experiments on artificial, benchmark time series (e.g. Mackey-Glass) and real-world data (e.g. numbers of sunspots and Forex rates) are presented and the results show that the proposed SOMAR network is effective and superior to other similar approaches. PMID:19145663

  16. Modeling money demand components in Lebanon using autoregressive models

    International Nuclear Information System (INIS)

    This paper analyses monetary aggregate in Lebanon and its different component methodology of AR model. Thirteen variables in monthly data have been studied for the period January 1990 through December 2005. Using the Augmented Dickey-Fuller (ADF) procedure, twelve variables are integrated at order 1, thus they need the filter (1-B)) to become stationary, however the variable X13,t (claims on private sector) becomes stationary with the filter (1-B)(1-B12) . The ex-post forecasts have been calculated for twelve horizons and for one horizon (one-step ahead forecast). The quality of forecasts has been measured using the MAPE criterion for which the forecasts are good because the MAPE values are lower. Finally, a pursuit of this research using the cointegration approach is proposed. (author)

  17. Information contraction and extraction by multivariate autoregressive (MAR) modelling. Pt. 2. Dominant noise sources in BWRS

    Energy Technology Data Exchange (ETDEWEB)

    Morishima, N. [Kyoto Univ. (Japan). Faculty of Engineering

    1996-06-01

    The multivariate autoregressive (MAR) modeling of a vector noise process is discussed in terms of the estimation of dominant noise sources in BWRs. The discussion is based on a physical approach: a transfer function model on BWR core dynamics is utilized in developing a noise model; a set of input-output relations between three system variables and twelve different noise sources is obtained. By the least-square fitting of a theoretical PSD on neutron noise to an experimental one, four kinds of dominant noise sources are selected. It is shown that some of dominant noise sources consist of two or more different noise sources and have the spectral properties of being coloured and correlated with each other. By diagonalizing the PSD matrix for dominant noise sources, we may obtain an MAR expression for a vector noise process as a response to the diagonal elements(i.e. residual noises) being white and mutually-independent. (Author).

  18. Goodness-of-fit tests for vector autoregressive models in time series

    Institute of Scientific and Technical Information of China (English)

    2010-01-01

    The paper proposes and studies some diagnostic tools for checking the goodness-of-fit of general parametric vector autoregressive models in time series. The resulted tests are asymptotically chi-squared under the null hypothesis and can detect the alternatives converging to the null at a parametric rate. The tests involve weight functions,which provides us with the flexibility to choose scores for enhancing power performance,especially under directional alternatives. When the alternatives are not directional,we construct asymptotically distribution-free maximin tests for a large class of alternatives. A possibility to construct score-based omnibus tests is discussed when the alternative is saturated. The power performance is also investigated. In addition,when the sample size is small,a nonparametric Monte Carlo test approach for dependent data is proposed to improve the performance of the tests. The algorithm is easy to implement. Simulation studies and real applications are carried out for illustration.

  19. Blind identification of threshold auto-regressive model for machine fault diagnosis

    Institute of Scientific and Technical Information of China (English)

    LI Zhinong; HE Yongyong; CHU Fulei; WU Zhaotong

    2007-01-01

    A blind identification method was developed for the threshold auto-regressive (TAR) model. The method had good identification accuracy and rapid convergence, especially for higher order systems. The proposed method was then combined with the hidden Markov model (HMM) to determine the auto-regressive (AR) coefficients for each interval used for feature extraction, with the HMM as a classifier. The fault diagnoses during the speed-up and speed- down processes for rotating machinery have been success- fully completed. The result of the experiment shows that the proposed method is practical and effective.

  20. Fitting multistate transition models with autoregressive logistic regression : Supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, SO; Fidler, [No Value; Kuipers, WD; Hunink, MGM

    1998-01-01

    The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a six

  1. Fitting multi-state transition models with autoregressive logistic regression : supervised exercise in intermittent claudication

    NARCIS (Netherlands)

    de Vries, S.O.; Fidler, V.; Kuipers, W.D.; Hunink, M.G.

    1998-01-01

    The purpose of this study was to develop a model that predicts the outcome of supervised exercise for intermittent claudication. The authors present an example of the use of autoregressive logistic regression for modeling observed longitudinal data. Data were collected from 329 participants in a six

  2. More on testing exact rational expectations in cointegrated vector autoregressive models : restricted drift terms

    OpenAIRE

    2003-01-01

    Abstract: In this note we consider testing of a type of linear restrictions implied by rational expectations hypotheses in a cointegrated vector autoregressive model for I(1) variables when there in addition is a restriction on the deterministic drift term. Keywords: VAR model, cointegration, restricted drift term, rational expectations

  3. Monthly sunspot number time series analysis and its modeling through autoregressive artificial neural network

    CERN Document Server

    Chattopadhyay, Goutami; 10.1140/epjp/i2012-12043-9

    2012-01-01

    This study reports a statistical analysis of monthly sunspot number time series and observes non homogeneity and asymmetry within it. Using Mann-Kendall test a linear trend is revealed. After identifying stationarity within the time series we generate autoregressive AR(p) and autoregressive moving average (ARMA(p,q)). Based on minimization of AIC we find 3 and 1 as the best values of p and q respectively. In the next phase, autoregressive neural network (AR-NN(3)) is generated by training a generalized feedforward neural network (GFNN). Assessing the model performances by means of Willmott's index of second order and coefficient of determination, the performance of AR-NN(3) is identified to be better than AR(3) and ARMA(3,1).

  4. Monthly sunspot number time series analysis and its modeling through autoregressive artificial neural network

    Science.gov (United States)

    Chattopadhyay, Goutami; Chattopadhyay, Surajit

    2012-04-01

    This study reports a statistical analysis of monthly sunspot number time series and observes nonhomogeneity and asymmetry within it. Using the Mann-Kendall test a linear trend is revealed. After identifying stationarity within the time series we generate autoregressive AR( p) and autoregressive moving average (ARMA( p, q) . Based on the minimization of AIC we find 3 and 1 as the best values for p and q , respectively. In the next phase, autoregressive neural network (AR-NN(3)) is generated by training a generalized feedforward neural network (GFNN). Assessing the model performances by means of Willmott's index of second order and the coefficient of determination, the performance of AR-NN(3) is identified to be better than AR(3) and ARMA(3,1).

  5. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    economic model implies the econometric concept of strong exogeneity for ß. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the comparative statics are captured by the long-run impact matrix, C; and the exogenous variables are the common trends. Also, the adjustment...... parameters of the CVAR are shown to be interpretable in terms of expectations formation, market clearing, nominal rigidities, etc. The general-partial equilibrium distinction is also discussed....

  6. Bridging Economic Theory Models and the Cointegrated Vector Autoregressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    2008-01-01

    economic model is related to econometric concepts of exogeneity. The economic equilibrium corresponds to the so-called long-run value (Johansen 2005), the long-run impact matrix, C; captures the comparative statics and the exogenous variables are the common trends. The adjustment parameters of the CVAR are...... related to expectations formation, market clearing, nominal rigidities, etc. Finally, the general-partial equilibrium distinction is analyzed....

  7. Testing the Conditional Mean Function of Autoregressive Conditional Duration Models

    DEFF Research Database (Denmark)

    Hautsch, Nikolaus

    order to capture persistent serial dependence in the duration process, we extend the model by an observation driven ARMA dynamic based on generalized errors. We illustrate the maximum likelihood estimation of both the model parameters and discrete points of the underlying unspecified baseline survivor...... subject to censoring structures. In an empirical study based on financial transaction data we present an application of the model to estimate conditional asset price change probabilities. Evaluating the forecasting properties of the model, it is shown that the proposed approach is a promising competitor...

  8. Price and Income Elasticity of Australian Retail Finance: An Autoregressive Distributed Lag (ARDL Approach

    Directory of Open Access Journals (Sweden)

    Helen Higgs

    2014-03-01

    Full Text Available This paper models the price and income elasticity of retail finance in Australia using aggregate quarterly data and an autoregressive distributed lag (ARDL approach. We particularly focus on the impact of the global financial crisis (GFC from 2007 onwards on retail finance demand and analyse four submarkets (period analysed in brackets: owneroccupied housing loans (Sep 1985–June 2010, term loans (for motor vehicles, household goods and debt consolidation, etc. (Dec 1988–Jun 2010, credit card loans (Mar 1990–Jun 2010, and margin loans (Sep 2000–Jun 2010. Other than the indicator lending rates and annual full-time earnings respectively used as proxies for the price and income effects, we specify a large number of other variables as demand factors, particularly reflecting the value of the asset for which retail finance demand is derived. These variously include the yield on indexed bonds as a proxy for inflation expectations, median housing prices, consumer sentiment indices as measures of consumer confidence, motor vehicle and retail trade sales, housing debt-to-housing assets as a measure of leverage, the proportion of protected margin lending, the available credit limit on credit cards, and the All Ordinaries Index. In the long run, we find significant price elasticities only for term loans and margin loans, and significant income elasticities of demand for housing loans, term loans and margin loans. We also find that the GFC only significantly affected the longrun demand for term loans and margin loans. In the short run, we find that the GFC has had a significant effect on the price elasticity of demand for term loans and margin loans. Expected inflation is also a key factor affecting retail finance demand. Overall, most of the submarkets in the analysis indicate that retail finance demand is certainly price inelastic but more income elastic than conventionally thought.

  9. Modelling the progression of bird migration with conditional autoregressive models applied to ringing data.

    Directory of Open Access Journals (Sweden)

    Roberto Ambrosini

    Full Text Available Migration is a fundamental stage in the life history of several taxa, including birds, and is under strong selective pressure. At present, the only data that may allow for both an assessment of patterns of bird migration and for retrospective analyses of changes in migration timing are the databases of ring recoveries. We used ring recoveries of the Barn Swallow Hirundo rustica collected from 1908-2008 in Europe to model the calendar date at which a given proportion of birds is expected to have reached a given geographical area ('progression of migration' and to investigate the change in timing of migration over the same areas between three time periods (1908-1969, 1970-1990, 1991-2008. The analyses were conducted using binomial conditional autoregressive (CAR mixed models. We first concentrated on data from the British Isles and then expanded the models to western Europe and north Africa. We produced maps of the progression of migration that disclosed local patterns of migration consistent with those obtained from the analyses of the movements of ringed individuals. Timing of migration estimated from our model is consistent with data on migration phenology of the Barn Swallow available in the literature, but in some cases it is later than that estimated by data collected at ringing stations, which, however, may not be representative of migration phenology over large geographical areas. The comparison of median migration date estimated over the same geographical area among time periods showed no significant advancement of spring migration over the whole of Europe, but a significant advancement of autumn migration in southern Europe. Our modelling approach can be generalized to any records of ringing date and locality of individuals including those which have not been recovered subsequently, as well as to geo-referenced databases of sightings of migratory individuals.

  10. The Performance of Multilevel Growth Curve Models under an Autoregressive Moving Average Process

    Science.gov (United States)

    Murphy, Daniel L.; Pituch, Keenan A.

    2009-01-01

    The authors examined the robustness of multilevel linear growth curve modeling to misspecification of an autoregressive moving average process. As previous research has shown (J. Ferron, R. Dailey, & Q. Yi, 2002; O. Kwok, S. G. West, & S. B. Green, 2007; S. Sivo, X. Fan, & L. Witta, 2005), estimates of the fixed effects were unbiased, and Type I…

  11. Modelling of Traffic Flow with Bayesian Autoregressive Model with Variable Partial Forgetting

    Czech Academy of Sciences Publication Activity Database

    Dedecius, Kamil; Nagy, Ivan; Hofman, Radek

    Praha : ČVUT v Praze, 2011, s. 1-11. [CTU Workshop 2011. Praha (CZ), 01.02.2011-01.02.2011] Grant ostatní: ČVUT v Praze(CZ) SGS 10/099/OHK3/1T/16 Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian modelling * traffic modelling Subject RIV: BB - Applied Statistics, Operational Research http://library.utia.cas.cz/separaty/2011/AS/dedecius-modelling of traffic flow with bayesian autoregressive model with variable partial forgetting.pdf

  12. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    2009-01-01

    In this paper, autocovariance nonstationary time series is clearly defined on a family of time series. We propose three types of TVPAR (time-varying parameter auto-regressive) models: the full order TVPAR model, the time-unvarying order TVPAR model and the time-varying order TV-PAR model for autocovariance nonstationary time series. Related minimum AIC (Akaike information criterion) estimations are carried out.

  13. Time-varying parameter auto-regressive models for autocovariance nonstationary time series

    Institute of Scientific and Technical Information of China (English)

    FEI WanChun; BAI Lun

    2009-01-01

    In this paper,autocovariance nonstationary time series is clearly defined on a family of time series.We propose three types of TVPAR (time-varying parameter auto-regressive) models:the full order TVPAR model,the time-unvarying order TVPAR model and the time-varying order TVPAR model for autocovariance nonstationary time series.Related minimum AIC (Akaike information criterion) estimations are carried out.

  14. Offline and online detection of damage using autoregressive models and artificial neural networks

    Science.gov (United States)

    Omenzetter, Piotr; de Lautour, Oliver R.

    2007-04-01

    Developed to study long, regularly sampled streams of data, time series analysis methods are being increasingly investigated for the use of Structural Health Monitoring. In this research, Autoregressive (AR) models are used in conjunction with Artificial Neural Networks (ANNs) for damage detection, localisation and severity assessment. In the first reported experimental exercise, AR models were used offline to fit the acceleration time histories of a 3-storey test structure in undamaged and various damaged states when excited by earthquake motion simulated on a shake table. Damage was introduced into the structure by replacing the columns with those of a thinner thickness. Analytical models of the structure in both damaged and undamaged states were also developed and updated using experimental data in order to determine structural stiffness. The coefficients of AR models were used as damage sensitive features and input into an ANN to build a relationship between them and the remaining structural stiffness. In the second, analytical exercise, a system with gradually progressing damage was numerically simulated and acceleration AR models with exogenous inputs were identified recursively. A trained ANN was then required to trace the structural stiffness online. The results for the offline and online approach showed the efficiency of using AR coefficient as damage sensitive features and good performance of the ANNs for damage detection, localization and quantification.

  15. Medium- and Long-term Prediction of LOD Change by the Leap-step Autoregressive Model

    Science.gov (United States)

    Wang, Qijie

    2015-08-01

    The accuracy of medium- and long-term prediction of length of day (LOD) change base on combined least-square and autoregressive (LS+AR) deteriorates gradually. Leap-step autoregressive (LSAR) model can significantly reduce the edge effect of the observation sequence. Especially, LSAR model greatly improves the resolution of signals’ low-frequency components. Therefore, it can improve the efficiency of prediction. In this work, LSAR is used to forecast the LOD change. The LOD series from EOP 08 C04 provided by IERS is modeled by both the LSAR and AR models. The results of the two models are analyzed and compared. When the prediction length is between 10-30 days, the accuracy improvement is less than 10%. When the prediction length amounts to above 30 day, the accuracy improved obviously, with the maximum being around 19%. The results show that the LSAR model has higher prediction accuracy and stability in medium- and long-term prediction.

  16. Experimental designs for autoregressive models applied to industrial maintenance

    International Nuclear Information System (INIS)

    Some time series applications require data which are either expensive or technically difficult to obtain. In such cases scheduling the points in time at which the information should be collected is of paramount importance in order to optimize the resources available. In this paper time series models are studied from a new perspective, consisting in the use of Optimal Experimental Design setup to obtain the best times to take measurements, with the principal aim of saving costs or discarding useless information. The model and the covariance function are expressed in an explicit form to apply the usual techniques of Optimal Experimental Design. Optimal designs for various approaches are computed and their efficiencies are compared. The methods working in an application of industrial maintenance of a critical piece of equipment at a petrochemical plant are shown. This simple model allows explicit calculations in order to show openly the procedure to find the correlation structure, needed for computing the optimal experimental design. In this sense the techniques used in this paper to compute optimal designs may be transferred to other situations following the ideas of the paper, but taking into account the increasing difficulty of the procedure for more complex models. - Highlights: • Optimal experimental design theory is applied to AR models to reduce costs. • The first observation has an important impact on any optimal design. • Either the lack of precision or small starting observations claim for large times. • Reasonable optimal times were obtained relaxing slightly the efficiency. • Optimal designs were computed in a predictive maintenance context

  17. Multivariate Portmanteau test for Autoregressive models with uncorrelated but nonindependent errors

    OpenAIRE

    Francq, Christian; Raïssi, Hamdi

    2007-01-01

    In this paper we consider estimation and test of fit for multiple autoregressive time series models with nonindependent innovations. We derive the asymptotic distribution of the residual autocorrelations. It is shown that this asymptotic distribution can be quite different for models with iid innovations and models in which the innovations exhibit conditional heteroscedasticity or other forms of dependence. Consequently, the usual chi-square distribution does not provide adequate approximatio...

  18. A vector autoregression (VAR) model of housing starts and housing price in Hong Kong

    OpenAIRE

    Wong, Kin-man; 黃健文

    2012-01-01

    It is observed that there are many different models about housing price. Yet, this is relatively smaller number of studies about housing starts. This thesis is an empirical study to work out the relationship between housing starts, housing price and other economic and policy instrumental factors. To achieve this objective, a Vector Autoregression (VAR) model is built since there is inter-relationship between housing starts and housing price. By applying previous models filled with the res...

  19. Settlement Prediction for Buildings Surrounding Foundation Pits Based on a Stationary Auto-regression Model

    Institute of Scientific and Technical Information of China (English)

    TIAN Lin-ya; HUA Xi-sheng

    2007-01-01

    To ensure the safety of buildings surrounding foundation pits, a study was made on a settlement monitoring and trend prediction method. A statistical testing method for analyzing the stability of a settlement monitoring datum has been discussed. According to a comprehensive survey, data of 16 stages at operating control point, were verified by a standard t test to determine the stability of the operating control point. A stationary auto-regression model, AR(p), used for the observation point settlement prediction has been investigated. Given the 16 stages of the settlement data at an observation point, the applicability of this model was analyzed. Settlement of last four stages was predicted using the stationary auto-regression model AR (1); the maximum difference between predicted and measured values was 0.6 mm,indicating good prediction results of the model. Hence, this model can be applied to settlement predictions for buildings surrounding foundation pits.

  20. Predicting heartbeat arrival time for failure detection over internet using auto-regressive exogenous model

    Institute of Scientific and Technical Information of China (English)

    Zhao Haijun; Ma Yan; Huang Xiaohong; Su Yujie

    2008-01-01

    Predicting heartbeat message arrival time is crucial for the quality of failure detection service over internet. However, internet dynamic characteristics make it very difficult to understand message behavior and accurately predict heartbeat arrival time. To solve this problem, a novel black-box model is proposed to predict the next heartbeat arrival time. Heartbeat arrival time is modeled as auto-regressive process, heartbeat sending time is modeled as exogenous variable, the model's coefficients are estimated based on the sliding window of observations and this result is used to predict the next heartbeat arrival time. Simulation shows that this adaptive auto-regressive exogenous (ARX) model can accurately capture heartbeat arrival dynamics and minimize prediction error in different network environments.

  1. Medium- and Long-term Prediction of LOD Change with the Leap-step Autoregressive Model

    Science.gov (United States)

    Liu, Q. B.; Wang, Q. J.; Lei, M. F.

    2015-09-01

    It is known that the accuracies of medium- and long-term prediction of changes of length of day (LOD) based on the combined least-square and autoregressive (LS+AR) decrease gradually. The leap-step autoregressive (LSAR) model is more accurate and stable in medium- and long-term prediction, therefore it is used to forecast the LOD changes in this work. Then the LOD series from EOP 08 C04 provided by IERS (International Earth Rotation and Reference Systems Service) is used to compare the effectiveness of the LSAR and traditional AR methods. The predicted series resulted from the two models show that the prediction accuracy with the LSAR model is better than that from AR model in medium- and long-term prediction.

  2. Two-dimensional minimum free energy autoregressive parametric modelling and spectral estimation

    OpenAIRE

    Kiernan, P.

    1995-01-01

    We present a new high resolution spectral estimation method. This method is a 2-D extension of the Minimum Free Energy (MFE) parameter estimation technique based on extension of the multidimensional Levinson method Our 2-D MFE technique determines autoregressive (AR) models for 2-D fields MFE-AR models may be used for 2-D spectral estimation. The performance of the technique for spectral estimation of closely spaced 2-D sinusoids in white noise is demonstrated by numerical example. Experi...

  3. A Mixture Innovation Heterogeneous Autoregressive Model for Structural Breaks and Long Memory

    DEFF Research Database (Denmark)

    Nonejad, Nima

    We propose a flexible model to describe nonlinearities and long-range dependence in time series dynamics. Our model is an extension of the heterogeneous autoregressive model. Structural breaks occur through mixture distributions in state innovations of linear Gaussian state space models. Monte...... Carlo simulations evaluate the properties of the estimation procedures. Results show that the proposed model is viable and flexible for purposes of forecasting volatility. Model uncertainty is accounted for by employing Bayesian model averaging. Bayesian model averaging provides very competitive...... forecasts compared to any single model specification. It provides further improvements when we average over nonlinear specifications....

  4. Thresholds and Smooth Transitions in Vector Autoregressive Models

    DEFF Research Database (Denmark)

    Hubrich, Kirstin; Teräsvirta, Timo

    This survey focuses on two families of nonlinear vector time series models, the family of Vector Threshold Regression models and that of Vector Smooth Transition Regression models. These two model classes contain incomplete models in the sense that strongly exogeneous variables are allowed in the...

  5. A Bayesian heterogeneous coefficients spatial autoregressive panel data model of retail fuel price rivalry

    OpenAIRE

    Lesage, James P.; Vance, Colin; Chih, Yao-Yu

    2016-01-01

    We apply a heterogenous coefficient spatial autoregressive panel model from Aquaro, Bailey and Pesaran (2015) to explore competition/cooperation by Berlin fueling stations in setting prices for diesel and E5 fuel. Unlike the maximum likelihood estimation method set forth by Aquaro, Bailey and Pesaran (2015), we rely on a Markov Chain Monte Carlo (MCMC) estimation methodology. MCMC estimates as applied here with non-informative priors will produce estimates equal to those from maximum likeliho...

  6. Trade-GDP Nexus in Iran: An Application of the Autoregressive Distributed Lag (ARDL Model

    Directory of Open Access Journals (Sweden)

    Mosayeb Pahlavani

    2005-01-01

    Full Text Available This study employed annual time series data (1960-2003 and unit root tests with multiple breaks to determine the most likely times of structural breaks in major factors impacting on the trade-GDP nexus in Iran We found, inter alia, that the endogenously determined structural breaks coincided with important events in the Iranian economy, including the 1979 Islamic revolution and the outbreak of the Iraq-Iran war in 1980. By applying the Lumsdaine and Papell (1997 approach, the stationarity of the variable under investigation was examined and in the presence of structural breaks, we found that the null hypothesis of unit root could be rejected for all of the variables under analysis except one. Under such circumstances, applying the ARDL procedure was the best way of determining long run relationships. For this reason, the error correction version of the autoregressive distributed lag procedure (ARDL was then employed to specify the short and long-term determinants of economic growth in the presence of structural breaks. The results showed that while the effects of gross capital formation and oil exports were important for the expansion of the Iranian GDP over the sample period, non-oil exports and human capital were generally less pivotal. It was also found that the speed of adjustment in the estimated models is relatively high and had the expected significant and negative sign. JEL classification numbers: C12, C22, C52.

  7. Granger Causality in Multi-variate Time Series using a Time Ordered Restricted Vector Autoregressive Model

    CERN Document Server

    Siggiridou, Elsa

    2015-01-01

    Granger causality has been used for the investigation of the inter-dependence structure of the underlying systems of multi-variate time series. In particular, the direct causal effects are commonly estimated by the conditional Granger causality index (CGCI). In the presence of many observed variables and relatively short time series, CGCI may fail because it is based on vector autoregressive models (VAR) involving a large number of coefficients to be estimated. In this work, the VAR is restricted by a scheme that modifies the recently developed method of backward-in-time selection (BTS) of the lagged variables and the CGCI is combined with BTS. Further, the proposed approach is compared favorably to other restricted VAR representations, such as the top-down strategy, the bottom-up strategy, and the least absolute shrinkage and selection operator (LASSO), in terms of sensitivity and specificity of CGCI. This is shown by using simulations of linear and nonlinear, low and high-dimensional systems and different t...

  8. Improving Forecasts of Generalized Autoregressive Conditional Heteroskedasticity with Wavelet Transform

    Directory of Open Access Journals (Sweden)

    Yu Zhao

    2013-01-01

    Full Text Available In the study, we discussed the generalized autoregressive conditional heteroskedasticity model and enhanced it with wavelet transform to evaluate the daily returns for 1/4/2002-30/12/2011 period in Brent oil market. We proposed discrete wavelet transform generalized autoregressive conditional heteroskedasticity model to increase the forecasting performance of the generalized autoregressive conditional heteroskedasticity model. Our new approach can overcome the defect of generalized autoregressive conditional heteroskedasticity family models which can’t describe the detail and partial features of times series and retain the advantages of them at the same time. Comparing with the generalized autoregressive conditional heteroskedasticity model, the new approach significantly improved forecast results and greatly reduces conditional variances.

  9. Time Series Forecasting by using Seasonal Autoregressive Integrated Moving Average: Subset, Multiplicative or Additive Model

    Directory of Open Access Journals (Sweden)

    Suhartono

    2011-01-01

    Full Text Available Problem statement: Most of Seasonal Autoregressive Integrated Moving Average (SARIMA models that used for forecasting seasonal time series are multiplicative SARIMA models. These models assume that there is a significant parameter as a result of multiplication between nonseasonal and seasonal parameters without testing by certain statistical test. Moreover, most popular statistical software such as MINITAB and SPSS only has facility to fit a multiplicative model. The aim of this research is to propose a new procedure for indentifying the most appropriate order of SARIMA model whether it involves subset, multiplicative or additive order. In particular, the study examined whether a multiplicative parameter existed in the SARIMA model. Approach: Theoretical derivation about Autocorrelation (ACF and Partial Autocorrelation (PACF functions from subset, multiplicative and additive SARIMA model was firstly discussed and then R program was used to create the graphics of these theoretical ACF and PACF. Then, two monthly datasets were used as case studies, i.e. the international airline passenger data and series about the number of tourist arrivals to Bali, Indonesia. The model identification step to determine the order of ARIMA model was done by using MINITAB program and the model estimation step used SAS program to test whether the model consisted of subset, multiplicative or additive order. Results: The theoretical ACF and PACF showed that subset, multiplicative and additive SARIMA models have different patterns, especially at the lag as a result of multiplication between non-seasonal and seasonal lags. Modeling of the airline data yielded a subset SARIMA model as the best model, whereas an additive SARIMA model is the best model for forecasting the number of tourist arrivals to Bali. Conclusion: Both of case studies showed that a multiplicative SARIMA model was not the best model for forecasting these data. The comparison evaluation showed that subset

  10. Temporal Aggregation in First Order Cointegrated Vector Autoregressive models

    DEFF Research Database (Denmark)

    Milhøj, Anders; la Cour, Lisbeth Funding

    2011-01-01

    with the frequency of the data. We also introduce a graphical representation that will prove useful as an additional informational tool for deciding the appropriate cointegration rank of a model. In two examples based on models of time series of different grades of gasoline, we demonstrate the...

  11. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    Wind power production data at temporal resolutions of a few minutes exhibits successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour...... recursively optimized is based on penalized maximum-likelihood, with exponential forgetting of past observations. MSAR models are then employed for 1-step-ahead point forecasting of 10-minute resolution time-series of wind power at two large offshore wind farms. They are favourably compared against...... persistence and AutoRegressive (AR) models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....

  12. Adaptive modelling and forecasting of offshore wind power fluctuations with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2012-01-01

    Wind power production data at temporal resolutions of a few minutes exhibit successive periods with fluctuations of various dynamic nature and magnitude, which cannot be explained (so far) by the evolution of some explanatory variable. Our proposal is to capture this regime-switching behaviour with...... recursively optimized is based on penalized maximum likelihood, with exponential forgetting of past observations. MSAR models are then employed for one-step-ahead point forecasting of 10 min resolution time series of wind power at two large offshore wind farms. They are favourably compared against persistence...... and autoregressive models. It is finally shown that the main interest of MSAR models lies in their ability to generate interval/density forecasts of significantly higher skill....

  13. Gaussian Processes for Functional Autoregression

    OpenAIRE

    Kowal, Daniel R.; David S. Matteson; Ruppert, David

    2016-01-01

    We develop a hierarchical Gaussian process model for forecasting and inference of functional time series data. Unlike existing methods, our approach is especially suited for sparsely or irregularly sampled curves and for curves sampled with non-negligible measurement error. The latent process is dynamically modeled as a functional autoregression (FAR) with Gaussian process innovations. We propose a fully nonparametric dynamic functional factor model for the dynamic innovation process, with br...

  14. Autoregressive Models of Background Errors for Chemical Data Assimilation

    OpenAIRE

    Constantinescu, Emil M.; Chai, Tianfeng; Sandu, Adrian; Gregory R. Carmichael

    2006-01-01

    The task of providing an optimal analysis of the state of the atmosphere requires the development of dynamic data-driven systems that efficiently integrate the observational data and the models. Data assimilation (DA) is the process of adjusting the states or parameters of a model in such a way that its outcome (prediction) is close, in some distance metric, to observed (real) states. It is widely accepted that a key ingredient of successful data assimilation is a realistic estimation of th...

  15. A representation theory for a class of vector autoregressive models for fractional processes

    DEFF Research Database (Denmark)

    Johansen, Søren

    2008-01-01

    Based on an idea of Granger (1986), we analyze a new vector autoregressive model defined from the fractional lag operator 1-(1-L)^{d}. We first derive conditions in terms of the coefficients for the model to generate processes which are fractional of order zero. We then show that if there is a unit...... root, the model generates a fractional process X(t) of order d, d>0, for which there are vectors ß so that ß'X(t) is fractional of order d-b, 0...

  16. New GPS-aided SINU System Modeling using an Autoregressive Model

    Directory of Open Access Journals (Sweden)

    Chot Hun Lim

    2015-09-01

    Full Text Available Stochastic error in the Micro-Electro-Mechanical-System (MEMS Strapdown Inertial Navigation Unit (SINU is the primary issue causing sensors to be unable to operate as a standalone device. Conventional implementation of MEMS SINU fuses measurement with a global positioning system (GPS through a Kalman filter in order to achieve long-term accuracy. Such integration is known as a GPS-aided SINU system, and its estimation accuracy relies on how precise the stochastic error prediction is in Kalman filtering operation. In this paper, a comprehensive study on stochastic error modeling and analysis through a Gauss- Markov (GM model and autoregressive (AR model are presented. A wavelet denoising technique is introduced prior to error modeling to remove the MEMS SINU's high frequency noise. Without a wavelet denoising technique, neither the GM model nor AR model can be utilized to represent the stochastic error of SINU. Next, details of the Kalman filter implementation to accommodate the AR model are presented. The modeling outcomes are implemented on an unmanned aerial vehicle (UAV for on-board motion sensing. The experimental results show that AR model implementation, compared to a conventional GM model, significantly reduced the estimated errors while preserving the position, velocity and orientation measurements.

  17. Modal identification based on Gaussian continuous time autoregressive moving average model

    Science.gov (United States)

    Xiuli, Du; Fengquan, Wang

    2010-09-01

    A new time-domain modal identification method of the linear time-invariant system driven by the non-stationary Gaussian random force is presented in this paper. The proposed technique is based on the multivariate continuous time autoregressive moving average (CARMA) model. This method can identify physical parameters of a system from the response-only data. To do this, we first transform the structural dynamic equation into the CARMA model, and subsequently rewrite it in the state-space form. Second, we present the exact maximum likelihood estimators of parameters of the continuous time autoregressive (CAR) model by virtue of the Girsanov theorem, under the assumption that the uniformly modulated function is approximately equal to a constant matrix over a very short period of time. Then, based on the relation between the CAR model and the CARMA model, we present the exact maximum likelihood estimators of parameters of the CARMA model. Finally, the modal parameters are identified by the eigenvalue analysis method. Numerical results show that the method we introduced here not only has high precision and robustness, but also has very high computing efficiency. Therefore, it is suitable for real-time modal identification.

  18. On tail behavior of nonlinear autoregressive functional conditional heteroscedastic model with heavy-tailed innovations

    Institute of Scientific and Technical Information of China (English)

    PAN; Jiazhu; WU; Guangxu

    2005-01-01

    We study the tail probability of the stationary distribution of nonparametric nonlinear autoregressive functional conditional heteroscedastic (NARFCH) model with heavytailed innovations. Our result shows that the tail of the stationary marginal distribution of an NARFCH series is heavily dependent on its conditional variance. When the innovations are heavy-tailed, the tail of the stationary marginal distribution of the series will become heavier or thinner than that of its innovations. We give some specific formulas to show how the increment or decrement of tail heaviness depends on the assumption on the conditional variance function. Some examples are given.

  19. Modeling gene expression regulatory networks with the sparse vector autoregressive model

    Directory of Open Access Journals (Sweden)

    Miyano Satoru

    2007-08-01

    Full Text Available Abstract Background To understand the molecular mechanisms underlying important biological processes, a detailed description of the gene products networks involved is required. In order to define and understand such molecular networks, some statistical methods are proposed in the literature to estimate gene regulatory networks from time-series microarray data. However, several problems still need to be overcome. Firstly, information flow need to be inferred, in addition to the correlation between genes. Secondly, we usually try to identify large networks from a large number of genes (parameters originating from a smaller number of microarray experiments (samples. Due to this situation, which is rather frequent in Bioinformatics, it is difficult to perform statistical tests using methods that model large gene-gene networks. In addition, most of the models are based on dimension reduction using clustering techniques, therefore, the resulting network is not a gene-gene network but a module-module network. Here, we present the Sparse Vector Autoregressive model as a solution to these problems. Results We have applied the Sparse Vector Autoregressive model to estimate gene regulatory networks based on gene expression profiles obtained from time-series microarray experiments. Through extensive simulations, by applying the SVAR method to artificial regulatory networks, we show that SVAR can infer true positive edges even under conditions in which the number of samples is smaller than the number of genes. Moreover, it is possible to control for false positives, a significant advantage when compared to other methods described in the literature, which are based on ranks or score functions. By applying SVAR to actual HeLa cell cycle gene expression data, we were able to identify well known transcription factor targets. Conclusion The proposed SVAR method is able to model gene regulatory networks in frequent situations in which the number of samples is

  20. IDENTIFICATION OF PERIODIC AUTOREGRESSIVE MOVING-AVERAGE TIME SERIES MODELS WITH R

    Directory of Open Access Journals (Sweden)

    Hazem I. El Shekh Ahmed

    2014-01-01

    Full Text Available Periodic autoregressive moving average PARMA process extend the classical autoregressive moving average ARMA process by allowing the parameters to vary with seasons. Model identification is the identification of a possible model based on an available realization, i.e., determining the type of the model with appropriate orders. The Periodic Autocorrelation Function (PeACF and the Periodic Partial Autocorrelation Function (PePACF serve as useful indicators of the correlation or of the dependence between the values of the series so that they play an important role in model identification. The identification is based on the cut-off property of the Periodic Autocorrelation Function (PeACF. We derive an explicit expression for the asymptotic variance of the sample PeACF to be used in establishing its bands. Therefore, we will get in this study a new structure of the periodic autocorrelation function which depends directly to the variance that will derived to be used in establishing its bands for the PMA process over the cut-off region and we have studied the theoretical side and we will apply some simulated examples with R which agrees well with the theoretical results.

  1. Forecasting Rice Productivity and Production of Odisha, India, Using Autoregressive Integrated Moving Average Models

    Directory of Open Access Journals (Sweden)

    Rahul Tripathi

    2014-01-01

    Full Text Available Forecasting of rice area, production, and productivity of Odisha was made from the historical data of 1950-51 to 2008-09 by using univariate autoregressive integrated moving average (ARIMA models and was compared with the forecasted all Indian data. The autoregressive (p and moving average (q parameters were identified based on the significant spikes in the plots of partial autocorrelation function (PACF and autocorrelation function (ACF of the different time series. ARIMA (2, 1, 0 model was found suitable for all Indian rice productivity and production, whereas ARIMA (1, 1, 1 was best fitted for forecasting of rice productivity and production in Odisha. Prediction was made for the immediate next three years, that is, 2007-08, 2008-09, and 2009-10, using the best fitted ARIMA models based on minimum value of the selection criterion, that is, Akaike information criteria (AIC and Schwarz-Bayesian information criteria (SBC. The performances of models were validated by comparing with percentage deviation from the actual values and mean absolute percent error (MAPE, which was found to be 0.61 and 2.99% for the area under rice in Odisha and India, respectively. Similarly for prediction of rice production and productivity in Odisha and India, the MAPE was found to be less than 6%.

  2. Multivariable autoregressive model of the dynamics of a boiling water reactor

    International Nuclear Information System (INIS)

    An autoregressive (AR) model with pseudo-random binary sequence (PRBS) test signals was applied to the dynamics of the Japan Power Demonstration Reactor, a boiling water reactor (BWR). The decision of the order of the AR model was based on the Akaike criterion. Multi-input test signals of the PRBS were applied to the steam-flow control valve and the forced circulation pump speed control terminal. Seventeen variables including the instrumented fuel assemblies were observed. The AR model identification facilitated building the BWR dynamics model as a multivariable system. The experiment indicated that the BWR dynamics with rather intensive nonwhite noise interference was effectively represented by the AR model, which was compared with a linear theoretical dynamics model. The results suggested that the identified AR model plays an important role in verifying, modifying, and improving the theeoretical dynamics model

  3. Optimal selection of autoregressive model coefficients for early damage detectability with an application to wind turbine blades

    Science.gov (United States)

    Hoell, Simon; Omenzetter, Piotr

    2016-03-01

    Data-driven vibration-based damage detection techniques can be competitive because of their lower instrumentation and data analysis costs. The use of autoregressive model coefficients (ARMCs) as damage sensitive features (DSFs) is one such technique. So far, like with other DSFs, either full sets of coefficients or subsets selected by trial-and-error have been used, but this can lead to suboptimal composition of multivariate DSFs and decreased damage detection performance. This study enhances the selection of ARMCs for statistical hypothesis testing for damage presence. Two approaches for systematic ARMC selection, based on either adding or eliminating the coefficients one by one or using a genetic algorithm (GA) are proposed. The methods are applied to a numerical model of an aerodynamically excited large composite wind turbine blade with disbonding damage. The GA out performs the other selection methods and enables building multivariate DSFs that markedly enhance early damage detectability and are insensitive to measurement noise.

  4. Autoregressive spatially varying coefficients model for predicting daily PM2.5 using VIIRS satellite AOT

    Science.gov (United States)

    Schliep, E. M.; Gelfand, A. E.; Holland, D. M.

    2015-12-01

    There is considerable demand for accurate air quality information in human health analyses. The sparsity of ground monitoring stations across the United States motivates the need for advanced statistical models to predict air quality metrics, such as PM2.5, at unobserved sites. Remote sensing technologies have the potential to expand our knowledge of PM2.5 spatial patterns beyond what we can predict from current PM2.5 monitoring networks. Data from satellites have an additional advantage in not requiring extensive emission inventories necessary for most atmospheric models that have been used in earlier data fusion models for air pollution. Statistical models combining monitoring station data with satellite-obtained aerosol optical thickness (AOT), also referred to as aerosol optical depth (AOD), have been proposed in the literature with varying levels of success in predicting PM2.5. The benefit of using AOT is that satellites provide complete gridded spatial coverage. However, the challenges involved with using it in fusion models are (1) the correlation between the two data sources varies both in time and in space, (2) the data sources are temporally and spatially misaligned, and (3) there is extensive missingness in the monitoring data and also in the satellite data due to cloud cover. We propose a hierarchical autoregressive spatially varying coefficients model to jointly model the two data sources, which addresses the foregoing challenges. Additionally, we offer formal model comparison for competing models in terms of model fit and out of sample prediction of PM2.5. The models are applied to daily observations of PM2.5 and AOT in the summer months of 2013 across the conterminous United States. Most notably, during this time period, we find small in-sample improvement incorporating AOT into our autoregressive model but little out-of-sample predictive improvement.

  5. Dual-component model of respiratory motion based on the periodic autoregressive moving average (periodic ARMA) method

    International Nuclear Information System (INIS)

    A new approach to the problem of modelling and predicting respiration motion has been implemented. This is a dual-component model, which describes the respiration motion as a non-periodic time series superimposed onto a periodic waveform. A periodic autoregressive moving average algorithm has been used to define a mathematical model of the periodic and non-periodic components of the respiration motion. The periodic components of the motion were found by projecting multiple inhale-exhale cycles onto a common subspace. The component of the respiration signal that is left after removing this periodicity is a partially autocorrelated time series and was modelled as an autoregressive moving average (ARMA) process. The accuracy of the periodic ARMA model with respect to fluctuation in amplitude and variation in length of cycles has been assessed. A respiration phantom was developed to simulate the inter-cycle variations seen in free-breathing and coached respiration patterns. At ±14% variability in cycle length and maximum amplitude of motion, the prediction errors were 4.8% of the total motion extent for a 0.5 s ahead prediction, and 9.4% at 1.0 s lag. The prediction errors increased to 11.6% at 0.5 s and 21.6% at 1.0 s when the respiration pattern had ±34% variations in both these parameters. Our results have shown that the accuracy of the periodic ARMA model is more strongly dependent on the variations in cycle length than the amplitude of the respiration cycles

  6. Forecasting hourly global solar radiation using hybrid k-means and nonlinear autoregressive neural network models

    International Nuclear Information System (INIS)

    Highlights: • An unsupervised clustering algorithm with a neural network model was explored. • The forecasting results of solar radiation time series and the comparison of their performance was simulated. • A new method was proposed combining k-means algorithm and NAR network to provide better prediction results. - Abstract: In this paper, we review our work for forecasting hourly global horizontal solar radiation based on the combination of unsupervised k-means clustering algorithm and artificial neural networks (ANN). k-Means algorithm focused on extracting useful information from the data with the aim of modeling the time series behavior and find patterns of the input space by clustering the data. On the other hand, nonlinear autoregressive (NAR) neural networks are powerful computational models for modeling and forecasting nonlinear time series. Taking the advantage of both methods, a new method was proposed combining k-means algorithm and NAR network to provide better forecasting results

  7. Non-stationary Autoregressive Model for On-line Detection of Inter-area Oscillations in Power Systems

    Czech Academy of Sciences Publication Activity Database

    Sidorov, D.; Panasetsky, D.; Šmídl, Václav

    Gothenburg : IEEE, 2010, s. 1-5. ISBN 978-1-4244-8508-6. [Innovative Smart Grid Technologies Conference Europe (ISGT Europe). Gothenburgh (SE), 11.10.2010-13.10.2010] R&D Projects: GA ČR GP102/08/P250 Institutional research plan: CEZ:AV0Z10750506 Keywords : power system oscillation * autoregressive model Subject RIV: JA - Electronics ; Optoelectronics, Electrical Engineering http://library.utia.cas.cz/separaty/2010/AS/smidl-non-stationary autoregressive model for on-line detection of inter-area oscillations in power systems.pdf

  8. Microenvironment temperature prediction between body and seat interface using autoregressive data-driven model.

    Science.gov (United States)

    Liu, Zhuofu; Wang, Lin; Luo, Zhongming; Heusch, Andrew I; Cascioli, Vincenzo; McCarthy, Peter W

    2015-11-01

    There is a need to develop a greater understanding of temperature at the skin-seat interface during prolonged seating from the perspectives of both industrial design (comfort/discomfort) and medical care (skin ulcer formation). Here we test the concept of predicting temperature at the seat surface and skin interface during prolonged sitting (such as required from wheelchair users). As caregivers are usually busy, such a method would give them warning ahead of a problem. This paper describes a data-driven model capable of predicting thermal changes and thus having the potential to provide an early warning (15- to 25-min ahead prediction) of an impending temperature that may increase the risk for potential skin damages for those subject to enforced sitting and who have little or no sensory feedback from this area. Initially, the oscillations of the original signal are suppressed using the reconstruction strategy of empirical mode decomposition (EMD). Consequentially, the autoregressive data-driven model can be used to predict future thermal trends based on a shorter period of acquisition, which reduces the possibility of introducing human errors and artefacts associated with longer duration "enforced" sitting by volunteers. In this study, the method had a maximum predictive error of seat and skin interface 15 min ahead, but required 45 min data prior to give this accuracy. Although the 45 min front loading of data appears large (in proportion to the 15 min prediction), a relative strength derives from the fact that the same algorithm could be used on the other 4 sitting datasets created by the same individual, suggesting that the period of 45 min required to train the algorithm is transferable to other data from the same individual. This approach might be developed (along with incorporation of other measures such as movement and humidity) into a system that can give caregivers prior warning to help avoid exacerbating the skin disorders of patients who suffer

  9. Autoregressive higher-order hidden Markov models: exploiting local chromosomal dependencies in the analysis of tumor expression profiles.

    Directory of Open Access Journals (Sweden)

    Michael Seifert

    Full Text Available Changes in gene expression programs play a central role in cancer. Chromosomal aberrations such as deletions, duplications and translocations of DNA segments can lead to highly significant positive correlations of gene expression levels of neighboring genes. This should be utilized to improve the analysis of tumor expression profiles. Here, we develop a novel model class of autoregressive higher-order Hidden Markov Models (HMMs that carefully exploit local data-dependent chromosomal dependencies to improve the identification of differentially expressed genes in tumor. Autoregressive higher-order HMMs overcome generally existing limitations of standard first-order HMMs in the modeling of dependencies between genes in close chromosomal proximity by the simultaneous usage of higher-order state-transitions and autoregressive emissions as novel model features. We apply autoregressive higher-order HMMs to the analysis of breast cancer and glioma gene expression data and perform in-depth model evaluation studies. We find that autoregressive higher-order HMMs clearly improve the identification of overexpressed genes with underlying gene copy number duplications in breast cancer in comparison to mixture models, standard first- and higher-order HMMs, and other related methods. The performance benefit is attributed to the simultaneous usage of higher-order state-transitions in combination with autoregressive emissions. This benefit could not be reached by using each of these two features independently. We also find that autoregressive higher-order HMMs are better able to identify differentially expressed genes in tumors independent of the underlying gene copy number status in comparison to the majority of related methods. This is further supported by the identification of well-known and of previously unreported hotspots of differential expression in glioblastomas demonstrating the efficacy of autoregressive higher-order HMMs for the analysis of individual

  10. APPLICATION OF SECOND KIND MODEL OF AUTOREGRESSION FOR EXTRAPOLATION ECONOMIC TIME SEQUENCE

    OpenAIRE

    Odnolko, A.V.; National Aviation University, Kyiv

    2012-01-01

     For extrapolation of economic time sequence we can use the method of autoregression. Originally given method of autoregression is used for prediction of the time series values. We must know: the first few points of sequence and time interval.

  11. Short-term electricity prices forecasting based on support vector regression and Auto-regressive integrated moving average modeling

    International Nuclear Information System (INIS)

    In this paper, we present the use of different mathematical models to forecast electricity price under deregulated power. A successful prediction tool of electricity price can help both power producers and consumers plan their bidding strategies. Inspired by that the support vector regression (SVR) model, with the ε-insensitive loss function, admits of the residual within the boundary values of ε-tube, we propose a hybrid model that combines both SVR and Auto-regressive integrated moving average (ARIMA) models to take advantage of the unique strength of SVR and ARIMA models in nonlinear and linear modeling, which is called SVRARIMA. A nonlinear analysis of the time-series indicates the convenience of nonlinear modeling, the SVR is applied to capture the nonlinear patterns. ARIMA models have been successfully applied in solving the residuals regression estimation problems. The experimental results demonstrate that the model proposed outperforms the existing neural-network approaches, the traditional ARIMA models and other hybrid models based on the root mean square error and mean absolute percentage error.

  12. A fault diagnosis methodology for rolling element bearings based on advanced signal pretreatment and autoregressive modelling

    Science.gov (United States)

    Al-Bugharbee, Hussein; Trendafilova, Irina

    2016-05-01

    This study proposes a methodology for rolling element bearings fault diagnosis which gives a complete and highly accurate identification of the faults present. It has two main stages: signals pretreatment, which is based on several signal analysis procedures, and diagnosis, which uses a pattern-recognition process. The first stage is principally based on linear time invariant autoregressive modelling. One of the main contributions of this investigation is the development of a pretreatment signal analysis procedure which subjects the signal to noise cleaning by singular spectrum analysis and then stationarisation by differencing. So the signal is transformed to bring it close to a stationary one, rather than complicating the model to bring it closer to the signal. This type of pretreatment allows the use of a linear time invariant autoregressive model and improves its performance when the original signals are non-stationary. This contribution is at the heart of the proposed method, and the high accuracy of the diagnosis is a result of this procedure. The methodology emphasises the importance of preliminary noise cleaning and stationarisation. And it demonstrates that the information needed for fault identification is contained in the stationary part of the measured signal. The methodology is further validated using three different experimental setups, demonstrating very high accuracy for all of the applications. It is able to correctly classify nearly 100 percent of the faults with regard to their type and size. This high accuracy is the other important contribution of this methodology. Thus, this research suggests a highly accurate methodology for rolling element bearing fault diagnosis which is based on relatively simple procedures. This is also an advantage, as the simplicity of the individual processes ensures easy application and the possibility for automation of the entire process.

  13. Classification of event-related potentials using multivariate autoregressive modeling combined with simulated annealing

    Directory of Open Access Journals (Sweden)

    Vasios C.E.

    2003-01-01

    Full Text Available In the present work, a new method for the classification of Event Related Potentials (ERPs is proposed. The proposed method consists of two modules: the feature extraction module and the classification module. The feature extraction module comprises the implementation of the Multivariate Autoregressive model in conjunction with the Simulated Annealing technique, for the selection of optimum features from ERPs. The classification module is implemented with a single three-layer neural network, trained with the back-propagation algorithm and classifies the data into two classes: patients and control subjects. The method, in the form of a Decision Support System (DSS, has been thoroughly tested to a number of patient data (OCD, FES, depressives and drug users, resulting successful classification up to 100%.

  14. Spatial pattern of diarrhea based on regional economic and environment by spatial autoregressive model

    Science.gov (United States)

    Bekti, Rokhana Dwi; Nurhadiyanti, Gita; Irwansyah, Edy

    2014-10-01

    The diarrhea case pattern information, especially for toddler, is very important. It is used to show the distribution of diarrhea in every region, relationship among that locations, and regional economic characteristic or environmental behavior. So, this research uses spatial pattern to perform them. This method includes: Moran's I, Spatial Autoregressive Models (SAR), and Local Indicator of Spatial Autocorrelation (LISA). It uses sample from 23 sub districts of Bekasi Regency, West Java, Indonesia. Diarrhea case, regional economic, and environmental behavior of households have a spatial relationship among sub district. SAR shows that the percentage of Regional Gross Domestic Product is significantly effect on diarrhea at α = 10%. Therefore illiteracy and health center facilities are significant at α = 5%. With LISA test, sub districts in southern Bekasi have high dependencies with Cikarang Selatan, Serang Baru, and Setu. This research also builds development application that is based on java and R to support data analysis.

  15. Testing the Causal Links between School Climate, School Violence, and School Academic Performance: A Cross-Lagged Panel Autoregressive Model

    Science.gov (United States)

    Benbenishty, Rami; Astor, Ron Avi; Roziner, Ilan; Wrabel, Stephani L.

    2016-01-01

    The present study explores the causal link between school climate, school violence, and a school's general academic performance over time using a school-level, cross-lagged panel autoregressive modeling design. We hypothesized that reductions in school violence and climate improvement would lead to schools' overall improved academic performance.…

  16. Forecasting Nord Pool day-ahead prices with an autoregressive model

    International Nuclear Information System (INIS)

    This paper presents a model to forecast Nord Pool hourly day-ahead prices. The model is based on but reduced in terms of estimation parameters (from 24 sets to 1) and modified to include Nordic demand and Danish wind power as exogenous variables. We model prices across all hours in the analysis period rather than across each single hour of 24 hours. By applying three model variants on Nord Pool data, we achieve a weekly mean absolute percentage error (WMAE) of around 6–7% and an hourly mean absolute percentage error (MAPE) ranging from 8% to 11%. Out of sample results yields a WMAE and an hourly MAPE of around 5%. The models enable analysts and traders to forecast hourly day-ahead prices accurately. Moreover, the models are relatively straightforward and user-friendly to implement. They can be set up in any trading organization. - Highlights: ► Forecasting Nord Pool day-ahead prices with an autoregressive model. ► The model is based on but with the set of parameters reduced from 24 to 1. ► The model includes Nordic demand and Danish wind power as exogenous variables. ► Hourly mean absolute percentage error ranges from 8% to 11%. ► Out of sample results yields a WMAE and an hourly MAPE of around 5%.

  17. [Autoregressive integrated moving average model in predicting road traffic injury in China].

    Science.gov (United States)

    Pang, Yuan-yuan; Zhang, Xu-jun; Tu, Zhi-bin; Cui, Meng-jing; Gu, Yue

    2013-07-01

    This research aimed to explore the application of autoregressive integrated moving average (ARIMA) model of time series analysis in predicting road traffic injury (RTI) in China and to provide scientific evidence for the prevention and control of RTI. Database was created based on the data collected from monitoring sites in China from 1951 to 2011. The ARIMA model was made. Then it was used to predict RTI in 2012. The ARIMA model of the RTI cases was Yt = e(Y˙t-1+0.456▿Yt-1+et) (et stands for random error). The residual error with 16 lags was white noise and the Ljung-Box test statistic for the model was no statistical significance. The model fitted the data well. True value of RTI cases in 2011 was within 95% CI of predicted values obtained from present model. The model was used to predict value of RTI cases in 2012, and the predictor (95%CI) was 207 838 (107 579-401 536). The ARIMA model could fit the trend of RTI in China. PMID:24257181

  18. Noncausal Bayesian Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    We propose a Bayesian inferential procedure for the noncausal vector autoregressive (VAR) model that is capable of capturing nonlinearities and incorporating effects of missing variables. In particular, we devise a fast and reliable posterior simulator that yields the predictive distribution as a...

  19. Assessment and prediction of air quality using fuzzy logic and autoregressive models

    Science.gov (United States)

    Carbajal-Hernández, José Juan; Sánchez-Fernández, Luis P.; Carrasco-Ochoa, Jesús A.; Martínez-Trinidad, José Fco.

    2012-12-01

    In recent years, artificial intelligence methods have been used for the treatment of environmental problems. This work, presents two models for assessment and prediction of air quality. First, we develop a new computational model for air quality assessment in order to evaluate toxic compounds that can harm sensitive people in urban areas, affecting their normal activities. In this model we propose to use a Sigma operator to statistically asses air quality parameters using their historical data information and determining their negative impact in air quality based on toxicity limits, frequency average and deviations of toxicological tests. We also introduce a fuzzy inference system to perform parameter classification using a reasoning process and integrating them in an air quality index describing the pollution levels in five stages: excellent, good, regular, bad and danger, respectively. The second model proposed in this work predicts air quality concentrations using an autoregressive model, providing a predicted air quality index based on the fuzzy inference system previously developed. Using data from Mexico City Atmospheric Monitoring System, we perform a comparison among air quality indices developed for environmental agencies and similar models. Our results show that our models are an appropriate tool for assessing site pollution and for providing guidance to improve contingency actions in urban areas.

  20. Efficient Blind System Identification of Non-Gaussian Auto-Regressive Models with HMM Modeling of the Excitation

    DEFF Research Database (Denmark)

    Li, Chunjian; Andersen, Søren Vang

    2007-01-01

    We propose two blind system identification methods that exploit the underlying dynamics of non-Gaussian signals. The two signal models to be identified are: an Auto-Regressive (AR) model driven by a discrete-state Hidden Markov process, and the same model whose output is perturbed by white Gaussian...... iterative schemes. The proposed methods also enjoy good data efficiency since only second order statistics is involved in the computation. When measurement noise is present, a novel Switching Kalman Smoother is incorporated into the EM algorithm, obtaining optimum nonlinear MMSE estimates of the system...

  1. Analysis of pelagic species decline in the upper San Francisco Estuary using multivariate autoregressive modeling (MAR)

    Science.gov (United States)

    Mac Nally, Ralph; Thomson, James R.; Kimmerer, Wim J.; Feyrer, Frederick; Newman, Ken B.; Sih, Andy; Bennett, William A.; Brown, Larry; Fleishman, Erica; Culberson, Steven D.; Castillo, Gonzalo

    2010-01-01

    Four species of pelagic fish of particular management concern in the upper San Francisco Estuary, California, USA, have declined precipitously since ca. 2002: delta smelt (Hypomesus transpacificus), longfin smelt (Spirinchus thaleichthys), striped bass (Morone saxatilis), and threadfin shad (Dorosoma petenense). The estuary has been monitored since the late 1960s with extensive collection of data on the fishes, their pelagic prey, phytoplankton biomass, invasive species, and physical factors. We used multivariate autoregressive (MAR) modeling to discern the main factors responsible for the declines. An expert-elicited model was built to describe the system. Fifty-four relationships were built into the model, only one of which was of uncertain direction a priori. Twenty-eight of the proposed relationships were strongly supported by or consistent with the data, while 26 were close to zero (not supported by the data but not contrary to expectations). The position of the 2‰ isohaline (a measure of the physical response of the estuary to freshwater flow) and increased water clarity over the period of analyses were two factors affecting multiple declining taxa (including fishes and the fishes' main zooplankton prey). Our results were relatively robust with respect to the form of stock–recruitment model used and to inclusion of subsidiary covariates but may be enhanced by using detailed state–space models that describe more fully the life-history dynamics of the declining species.

  2. Towards damage detection using blind source separation integrated with time-varying auto-regressive modeling

    Science.gov (United States)

    Musafere, F.; Sadhu, A.; Liu, K.

    2016-01-01

    In the last few decades, structural health monitoring (SHM) has been an indispensable subject in the field of vibration engineering. With the aid of modern sensing technology, SHM has garnered significant attention towards diagnosis and risk management of large-scale civil structures and mechanical systems. In SHM, system identification is one of major building blocks through which unknown system parameters are extracted from vibration data of the structures. Such system information is then utilized to detect the damage instant, and its severity to rehabilitate and prolong the existing health of the structures. In recent years, blind source separation (BSS) algorithm has become one of the newly emerging advanced signal processing techniques for output-only system identification of civil structures. In this paper, a novel damage detection technique is proposed by integrating BSS with the time-varying auto-regressive modeling to identify the instant and severity of damage. The proposed method is validated using a suite of numerical studies and experimental models followed by a full-scale structure.

  3. Reactor stability estimation in a boiling water reactor using a multivariate autoregressive model

    International Nuclear Information System (INIS)

    As to the stability phenomenon in the core of a BWR, as test methods have become sophisticated to yield high quality data, the information obtained from actual test data has given a better insight into the way of coupling neutron kinetics and thermal hydroulic phenomena. In the dynamic characteristics of a BWR, the reactor core and pressure regulator characteristics are dominant, and both are strongly coupled. The reactor core stability is defined by the invessel reactor dynamics without the effect of plant controllers, therefore, it is necessary to decouple the reactor core dynamics from the pressure regulator in order to estimate accurately the stability performance. In this study, autoregressive technique was applied to both artificial disturbance data, that is, pressure perturbation data and steady state noise data, and it was demonstrated that this model figging yielded more realistic stability performance index than ordinary correlation method, and that the stability index was able to be identified from noise data. The auto regressive fitting of small pressure perturbation test data and the evaluation by transient model and by noise analysis are reported. (Kako, I.)

  4. Autoregressive conditional beta

    OpenAIRE

    Yunmi Kim

    2012-01-01

    The capital asset pricing model provides various predictions about equilibrium expected returns on risky assets. One key prediction is that the risk premium on a risky asset is proportional to the nondiversifiable market risk measured by the asset's beta coefficient. This paper proposes a new method for estimating and drawing inferences from a time-varying capital asset pricing model. The proposed method, which can be considered a vector autoregressive model for multiple beta coefficients, is...

  5. Generalizing smooth transition autoregressions

    DEFF Research Database (Denmark)

    Chini, Emilio Zanetti

    We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail, with part......We introduce a variant of the smooth transition autoregression - the GSTAR model - capable to parametrize the asymmetry in the tails of the transition equation by using a particular generalization of the logistic function. A General-to-Specific modelling strategy is discussed in detail...... forecasting experiment to evaluate its point and density forecasting performances. In all the cases, the dynamic asymmetry in the cycle is efficiently captured by the new model. The GSTAR beats AR and STAR competitors in point forecasting, while this superiority becomes less evident in density forecasting...

  6. Dynamic RSA: Examining parasympathetic regulatory dynamics via vector-autoregressive modeling of time-varying RSA and heart period.

    Science.gov (United States)

    Fisher, Aaron J; Reeves, Jonathan W; Chi, Cyrus

    2016-07-01

    Expanding on recently published methods, the current study presents an approach to estimating the dynamic, regulatory effect of the parasympathetic nervous system on heart period on a moment-to-moment basis. We estimated second-to-second variation in respiratory sinus arrhythmia (RSA) in order to estimate the contemporaneous and time-lagged relationships among RSA, interbeat interval (IBI), and respiration rate via vector autoregression. Moreover, we modeled these relationships at lags of 1 s to 10 s, in order to evaluate the optimal latency for estimating dynamic RSA effects. The IBI (t) on RSA (t-n) regression parameter was extracted from individual models as an operationalization of the regulatory effect of RSA on IBI-referred to as dynamic RSA (dRSA). Dynamic RSA positively correlated with standard averages of heart rate and negatively correlated with standard averages of RSA. We propose that dRSA reflects the active downregulation of heart period by the parasympathetic nervous system and thus represents a novel metric that provides incremental validity in the measurement of autonomic cardiac control-specifically, a method by which parasympathetic regulatory effects can be measured in process. PMID:27045609

  7. Computer code DYSAC for identification and dynamics analysis of multivariable systems based on the autoregressive model

    International Nuclear Information System (INIS)

    Usage is described of the computer code DYSAC (Dynamic System Analysis Code) developed for a hybrid computer for the identification and the analysis of system dynamics. A multivariable linear dynamic system is identified based on the autoregressive model using the time series data obtained from a system in operation and the system dynamics thus identified are analyzed. This code includes subroutines for the analysis of step response, frequency response, power spectrum, etc. In order to facilitate handling a large number of various experimental data and to perform the analysis in perspective, considerations for effective utilization of hybrid computer functions and terminal devices are taken in this code, such as; The experimental data record in an analog data recorder are directly input to the analog part of the hybrid computer. The computed results can be plotted on the graphic display and its hard copy is readily available. A series of messages for guidance is given on the display terminal by which the analysis though man-machine interactive computation can be performed. Thus, the required results can be obtained by performing case studies for which necessary parameters are input through the keyboard and the results displayed are checked. (auth.)

  8. Day-ahead prediction using time series partitioning with Auto-Regressive model

    Directory of Open Access Journals (Sweden)

    Dennis Cheruiyot Kiplangat

    2016-08-01

    Full Text Available Wind speed forecasting has received a lot of attention in the recent past from researchers due to its enormous benefits in the generation of wind power and distribution. The biggest challenge still remains to be accurate prediction of wind speeds for efficient operation of a wind farm. Wind speed forecasts can be greatly improved by understanding its underlying dynamics. In this paper, we propose a method of time series partitioning where the original 10 minutes wind speed data is converted into a twodimensional array of order (N x 144 where N denotes the number of days with 144 the daily 10-min observations. Upon successful time series partitioning, a point forecast is computed for each of the 144 datasets extracted from the 10 minutes wind speed observations using an Auto-Regressive (AR process which is then combined together to give the (N+1st day forecast. The results of the computations show significant improvement in the prediction accuracy when AR model is coupled with time series partitioning.

  9. Is First-Order Vector Autoregressive Model Optimal for fMRI Data?

    Science.gov (United States)

    Ting, Chee-Ming; Seghouane, Abd-Krim; Khalid, Muhammad Usman; Salleh, Sh-Hussain

    2015-09-01

    We consider the problem of selecting the optimal orders of vector autoregressive (VAR) models for fMRI data. Many previous studies used model order of one and ignored that it may vary considerably across data sets depending on different data dimensions, subjects, tasks, and experimental designs. In addition, the classical information criteria (IC) used (e.g., the Akaike IC (AIC)) are biased and inappropriate for the high-dimensional fMRI data typically with a small sample size. We examine the mixed results on the optimal VAR orders for fMRI, especially the validity of the order-one hypothesis, by a comprehensive evaluation using different model selection criteria over three typical data types--a resting state, an event-related design, and a block design data set--with varying time series dimensions obtained from distinct functional brain networks. We use a more balanced criterion, Kullback's IC (KIC) based on Kullback's symmetric divergence combining two directed divergences. We also consider the bias-corrected versions (AICc and KICc) to improve VAR model selection in small samples. Simulation results show better small-sample selection performance of the proposed criteria over the classical ones. Both bias-corrected ICs provide more accurate and consistent model order choices than their biased counterparts, which suffer from overfitting, with KICc performing the best. Results on real data show that orders greater than one were selected by all criteria across all data sets for the small to moderate dimensions, particularly from small, specific networks such as the resting-state default mode network and the task-related motor networks, whereas low orders close to one but not necessarily one were chosen for the large dimensions of full-brain networks. PMID:26161816

  10. Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean

    OpenAIRE

    Patilea, Valentin; Raïssi, Hamdi

    2010-01-01

    Linear Vector AutoRegressive (VAR) models where the innovations could be unconditionally heteroscedastic and serially dependent are considered. The volatility structure is deterministic and quite general, including breaks or trending variances as special cases. In this framework we propose Ordinary Least Squares (OLS), Generalized Least Squares (GLS) and Adaptive Least Squares (ALS) procedures. The GLS estimator requires the knowledge of the time-varying variance structure while in the ALS ap...

  11. THE CAUSALITY BETWEEN INCOME AND ENERGY CONSUMPTION: A PANEL VECTOR AUTOREGRESSIVE APPROACH

    Directory of Open Access Journals (Sweden)

    Tony Irawan

    2011-08-01

    Full Text Available Normal 0 false false false MicrosoftInternetExplorer4 /* Style Definitions */ table.MsoNormalTable {mso-style-name:"Table Normal"; mso-tstyle-rowband-size:0; mso-tstyle-colband-size:0; mso-style-noshow:yes; mso-style-parent:""; mso-padding-alt:0cm 5.4pt 0cm 5.4pt; mso-para-margin:0cm; mso-para-margin-bottom:.0001pt; mso-pagination:widow-orphan; font-size:10.0pt; font-family:"Times New Roman"; mso-ansi-language:#0400; mso-fareast-language:#0400; mso-bidi-language:#0400;} Hubungan sebab-akibat antara pemakaian energi dan pemasukan (produk domestik kotor telah menjadi isu yang sangat penting di bidang ekonomi. Banyak penelitian yang telah dilakukan dan hasilnya beragam dan berlawanan. Dari hasil penelitian menunjukkan bahwa tidak ada hubungan sebab-akibat yang jelas antara kedua variabel tersebut. Penelitian ini bertujuan untuk melakukan investigasi ulang hubungan sebab-akibat tersebut dengan mengaplikasikan metode panel vector autoregressive kepada data dari enam negara terpadat populasinya di dunia. Selain itu, penelitian ini juga menggunakan impulse response function dan variance decomposition. Hasilnya menunjukkan bahwa adanya hubungan sebab-akibat tidak langsung dari pemakaian energi ke pemasukan. Goncangan pemakaian energi mempunyai efek yang positif dan dapat menjelaskan kira-kira 18,7 persen varian pemasukan.

  12. Stability of Caribbean coral communities quantified by long-term monitoring and autoregression models.

    Science.gov (United States)

    Gross, Kevin; Edmunds, Peter J

    2015-07-01

    Tropical coral reefs exemplify ecosystems imperiled by environmental change. Anticipating the future of reef ecosystems requires understanding how scleractinian corals respond to the multiple environmental disturbances that threaten their survival. We analyzed the stability of coral reefs at three habitats at different depths along the south shore of St. John, U.S. Virgin Islands, using multivariate autoregression (MAR) models and two decades of monitoring data. We quantified several measures of ecosystem stability, including the magnitude of typical stochastic fluctuations, the rate of recovery following disturbance, and the sensitivity of coral cover to hurricanes and elevated sea temperature. Our results show that, even within a -4 km shore, coral communities in different habitats display different stability properties, and that the stability of each habitat corresponds with the habitat's known synecology. Two Orbicella-dominated habitats are less prone to annual stochastic fluctuations than coral communities in shallower water, but they recover slowly from disturbance, and one habitat has suffered recent losses in scleractinian cover that will not be quickly reversed. In contrast, a shallower, low-coral-cover habitat is subject to greater stochastic fluctuations, but rebounds more quickly from disturbance and is more robust to hurricanes and seawater warming. In some sense, the shallower community is more stable, although the stability arguably arises from having little coral cover left. Our results sharpen understanding of recent changes in coral communities at these habitats, provide a more detailed understanding of how these habitats may change in future environments, and illustrate how MAR models can be used to assess stability of communities founded upon long-lived species. PMID:26378304

  13. Consistent and Conservative Model Selection with the Adaptive LASSO in Stationary and Nonstationary Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl

    2015-01-01

    We show that the adaptive Lasso is oracle efficient in stationary and nonstationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency as if...

  14. Linking Simple Economic Theory Models and the Cointegrated Vector AutoRegressive Model

    DEFF Research Database (Denmark)

    Møller, Niels Framroze

    This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its stru....... Further fundamental extensions and advances to more sophisticated theory models, such as those related to dynamics and expectations (in the structural relations) are left for future papers......This paper attempts to clarify the connection between simple economic theory models and the approach of the Cointegrated Vector-Auto-Regressive model (CVAR). By considering (stylized) examples of simple static equilibrium models, it is illustrated in detail, how the theoretical model and its...... demonstrated how other controversial hypotheses such as Rational Expectations can be formulated directly as restrictions on the CVAR-parameters. A simple example of a "Neoclassical synthetic" AS-AD model is also formulated. Finally, the partial- general equilibrium distinction is related to the CVAR as well...

  15. Modeling long-term price development by using time-series auto-regression and expert judgments

    OpenAIRE

    Shnyrev, Denis

    2009-01-01

    The objective of the thesis was to create a long term forecast for pine roundwood timber assortment’s price in Finland for the years 2010 until 2020. The forecast’s purpose was to serve as helpful information in strategic business planning of Oy Karelkon LTD throughout the next decade. The theoretical framework for this thesis was based on quantitative forecasting theory and in particular the theory of autoregressive model of order one, or the AR1 model. This model was applied in order t...

  16. Model Selection in Partially Nonstationary Vector Autoregressive Processes with Reduced Rank Structure

    OpenAIRE

    Chao, John C.; Phillips, Peter C.B.

    1997-01-01

    The current practice for determining the number of cointegrating vectors, or the cointegrating rank, in a vector autoregression (VAR) requires the investigator to perform a sequence of cointegration tests. However, as was shown in Johansen (1992), this type of sequential procedure does not lead to consistent estimation of the cointegrating rank. Moreover, these methods take as given the correct specification of the lag order of the VAR, though in actual applications the true lag length is rar...

  17. The Effect of Nonzero Autocorrelation Coefficients on the Distributions of Durbin-Watson Test Estimator: Three Autoregressive Models

    Directory of Open Access Journals (Sweden)

    Mei-Yu LEE

    2014-11-01

    Full Text Available This paper investigates the effect of the nonzero autocorrelation coefficients on the sampling distributions of the Durbin-Watson test estimator in three time-series models that have different variance-covariance matrix assumption, separately. We show that the expected values and variances of the Durbin-Watson test estimator are slightly different, but the skewed and kurtosis coefficients are considerably different among three models. The shapes of four coefficients are similar between the Durbin-Watson model and our benchmark model, but are not the same with the autoregressive model cut by one-lagged period. Second, the large sample case shows that the three models have the same expected values, however, the autoregressive model cut by one-lagged period explores different shapes of variance, skewed and kurtosis coefficients from the other two models. This implies that the large samples lead to the same expected values, 2(1 – ρ0, whatever the variance-covariance matrix of the errors is assumed. Finally, comparing with the two sample cases, the shape of each coefficient is almost the same, moreover, the autocorrelation coefficients are negatively related with expected values, are inverted-U related with variances, are cubic related with skewed coefficients, and are U related with kurtosis coefficients.

  18. KARMA: Kalman-based autoregressive moving average modeling and inference for formant and antiformant tracking

    CERN Document Server

    Mehta, Daryush D; Wolfe, Patrick J

    2011-01-01

    Vocal tract resonance characteristics in acoustic speech signals are classically tracked using frame-by-frame point estimates of formant frequencies followed by candidate selection and smoothing using dynamic programming methods that minimize ad hoc cost functions. The goal of the current work is to provide both point estimates and associated uncertainties of center frequencies and bandwidths in a statistically principled state-space framework. Extended Kalman (K) algorithms take advantage of a linearized mapping to infer formant and antiformant parameters from frame-based estimates of autoregressive moving average (ARMA) cepstral coefficients. Error analysis of KARMA, WaveSurfer, and Praat is accomplished in the all-pole case using a manually marked formant database and synthesized speech waveforms. KARMA formant tracks exhibit lower overall root-mean-square error relative to the two benchmark algorithms, with third formant tracking more challenging. Antiformant tracking performance of KARMA is illustrated u...

  19. Probabilistic forecasting of wind power at the minute time-scale with Markov-switching autoregressive models

    DEFF Research Database (Denmark)

    Pinson, Pierre; Madsen, Henrik

    2008-01-01

    Better modelling and forecasting of very short-term power fluctuations at large offshore wind farms may significantly enhance control and management strategies of their power output. The paper introduces a new methodology for modelling and forecasting such very short-term fluctuations. The proposed...... methodology is based on a Markov-switching autoregressive model with time-varying coefficients. An advantage of the method is that one can easily derive full predictive densities. The quality of this methodology is demonstrated from the test case of 2 large offshore wind farms in Denmark. The exercise...... consists in 1-step ahead forecasting exercise on time-series of wind generation with a time resolution of 10 minute. The quality of the introduced forecasting methodology and its interest for better understanding power fluctuations are finally discussed....

  20. Oil Price Volatility and Economic Growth in Nigeria: a Vector Auto-Regression (VAR Approach

    Directory of Open Access Journals (Sweden)

    Edesiri Godsday Okoro

    2014-02-01

    Full Text Available The study examined oil price volatility and economic growth in Nigeria linking oil price volatility, crude oil prices, oil revenue and Gross Domestic Product. Using quarterly data sourced from the Central Bank of Nigeria (CBN Statistical Bulletin and World Bank Indicators (various issues spanning 1980-2010, a non‐linear model of oil price volatility and economic growth was estimated using the VAR technique. The study revealed that oil price volatility has significantly influenced the level of economic growth in Nigeria although; the result additionally indicated a negative relationship between the oil price volatility and the level of economic growth. Furthermore, the result also showed that the Nigerian economy survived on crude oil, to such extent that the country‘s budget is tied to particular price of crude oil. This is not a good sign for a developing economy, more so that the country relies almost entirely on revenue of the oil sector as a source of foreign exchange earnings. This therefore portends some dangers for the economic survival of Nigeria. It was recommended amongst others that there should be a strong need for policy makers to focus on policy that will strengthen/stabilize the economy with specific focus on alternative sources of government revenue. Finally, there should be reduction in monetization of crude oil receipts (fiscal discipline, aggressive saving of proceeds from oil booms in future in order to withstand vicissitudes of oil price volatility in future.

  1. Carbon dioxide emissions reduction in China's transport sector: A dynamic VAR (vector autoregression) approach

    International Nuclear Information System (INIS)

    Energy saving and carbon dioxide emission reduction in China is attracting increasing attention worldwide. At present, China is in the phase of rapid urbanization and industrialization, which is characterized by rapid growth of energy consumption. China's transport sector is highly energy-consuming and pollution-intensive. Between 1980 and 2012, the carbon dioxide emissions in China's transport sector increased approximately 9.7 times, with an average annual growth rate of 7.4%. Identifying the driving forces of the increase in carbon dioxide emissions in the transport sector is vital to developing effective environmental policies. This study uses Vector Autoregressive model to analyze the influencing factors of the changes in carbon dioxide emissions in the sector. The results show that energy efficiency plays a dominant role in reducing carbon dioxide emissions. Private vehicles have more impact on emission reduction than cargo turnover due to the surge in private car population and its low energy efficiency. Urbanization also has significant effect on carbon dioxide emissions because of large-scale population movements and the transformation of the industrial structure. These findings are important for the relevant authorities in China in developing appropriate energy policy and planning for the transport sector. - Highlights: • The driving forces of CO2 emissions in China's transport sector were investigated. • Energy efficiency plays a dominant role in reducing carbon dioxide emissions. • Urbanization has significant effect on CO2 emissions due to large-scale migration. • The role of private cars in reducing emissions is more important than cargo turnover

  2. Modeling the Variance of Variance Through a Constant Elasticity of Variance Generalized Autoregressive Conditional Heteroskedasticity Model

    OpenAIRE

    Saedi, Mehdi; Wolk, Jared

    2012-01-01

    This paper compares a standard GARCH model with a Constant Elasticity of Variance GARCH model across three major currency pairs and the S&P 500 index. We discuss the advantages and disadvantages of using a more sophisticated model designed to estimate the variance of variance instead of assuming it to be a linear function of the conditional variance. The current stochastic volatility and GARCH analogues rest upon this linear assumption. We are able to confirm through empirical estimation ...

  3. Valuing structure, model uncertainty and model averaging in vector autoregressive processes

    NARCIS (Netherlands)

    R.W. Strachan (Rodney); H.K. van Dijk (Herman)

    2004-01-01

    textabstractEconomic policy decisions are often informed by empirical analysis based on accurate econometric modeling. However, a decision-maker is usually only interested in good estimates of outcomes, while an analyst must also be interested in estimating the model. Accurate inference on structura

  4. Financial Development and Energy Consumption Nexus in Nigeria: An Application of Autoregressive Distributed Lag Bound Testing Approach

    OpenAIRE

    Hamisu Sadi Ali; Zulkornain Bin Yusop; Law Siong Hook

    2015-01-01

    Using autoregressive distributed lag bound test framework, the dynamics of financial development, economic growth, energy prices and energy consumption was investigated in Nigeria for the period of 1972Q1-2011Q4. The finding signifies that variables were cointegrated as null hypothesis was rejected at 1% level of significance. In the short-run financial development has significant negative impact on fossil fuel consumption, economic growth also shows the same relationship. However, energy pri...

  5. The Impact of Integrated Pest Management Practices on U.S. National Nursery Industry Annul Sales Revenue: An Application of Smooth Transition Spatial Autoregressive Models

    OpenAIRE

    Xu, Wan; Khachatryan, Hayk

    2013-01-01

    The relationship between U.S. nursery industry sales and seven major Integrated Pest Management (IPM) practices was investigated using smooth transition spatial autoregressive models. Controlling for selected production, management, and marketing practices, the results showed that the differential effects of IPM practices on annual sales vary across geography, which has useful implications for industry practitioners.

  6. Acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor from autoregressive models

    Energy Technology Data Exchange (ETDEWEB)

    Geraldo, Issa Cherif [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Bose, Tanmoy [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Pekpe, Komi Midzodzi, E-mail: midzodzi.pekpe@univ-lille1.fr [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Cassar, Jean-Philippe [Laboratoire d’Automatique, Génie Informatique et Signal (LAGIS UMR CNRS 8219), Université Lille 1, Sciences et technologies, Avenue Paul Langevin, BP 48, 59651 Villeneuve d’Ascq CEDEX (France); Mohanty, A.R. [Indian Institute of Technology Kharagpur, Kharagpur 721302, West Bengal (India); Paumel, Kévin [CEA, DEN, Nuclear Technology Department, F-13108 Saint-Paul-lez-Durance (France)

    2014-10-15

    Highlights: • The work deals with sodium boiling detection in a liquid metal fast breeder reactor. • The authors choose to use acoustic data instead of thermal data. • The method is designed to not to be disturbed by the environment noises. • A real time boiling detection methods are proposed in the paper. - Abstract: This paper deals with acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor (LMFBR) based on auto regressive (AR) models which have low computational complexities. Some authors have used AR models for sodium boiling or sodium–water reaction detection. These works are based on the characterization of the difference between fault free condition and current functioning of the system. However, even in absence of faults, it is possible to observe a change in the AR models due to the change of operating mode of the LMFBR. This sets up the delicate problem of how to distinguish a change in operating mode in absence of faults and a change due to presence of faults. In this paper we propose a new approach for boiling detection based on the estimation of AR models on sliding windows. Afterwards, classification of the models into boiling or non-boiling models is made by comparing their coefficients by two statistical methods, multiple linear regression (LR) and support vectors machines (SVM). The proposed approach takes into account operating mode information in order to avoid false alarms. Experimental data include non-boiling background noise data collected from Phenix power plant (France) and provided by the CEA (Commissariat à l’Energie Atomique et aux énergies alternatives, France) and boiling condition data generated in laboratory. High boiling detection rates as well as low false alarms rates obtained on these experimental data show that the proposed method is efficient for boiling detection. Most importantly, it shows that the boiling phenomenon introduces a disturbance into the AR models that can be clearly detected.

  7. Acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor from autoregressive models

    International Nuclear Information System (INIS)

    Highlights: • The work deals with sodium boiling detection in a liquid metal fast breeder reactor. • The authors choose to use acoustic data instead of thermal data. • The method is designed to not to be disturbed by the environment noises. • A real time boiling detection methods are proposed in the paper. - Abstract: This paper deals with acoustic monitoring of sodium boiling in a liquid metal fast breeder reactor (LMFBR) based on auto regressive (AR) models which have low computational complexities. Some authors have used AR models for sodium boiling or sodium–water reaction detection. These works are based on the characterization of the difference between fault free condition and current functioning of the system. However, even in absence of faults, it is possible to observe a change in the AR models due to the change of operating mode of the LMFBR. This sets up the delicate problem of how to distinguish a change in operating mode in absence of faults and a change due to presence of faults. In this paper we propose a new approach for boiling detection based on the estimation of AR models on sliding windows. Afterwards, classification of the models into boiling or non-boiling models is made by comparing their coefficients by two statistical methods, multiple linear regression (LR) and support vectors machines (SVM). The proposed approach takes into account operating mode information in order to avoid false alarms. Experimental data include non-boiling background noise data collected from Phenix power plant (France) and provided by the CEA (Commissariat à l’Energie Atomique et aux énergies alternatives, France) and boiling condition data generated in laboratory. High boiling detection rates as well as low false alarms rates obtained on these experimental data show that the proposed method is efficient for boiling detection. Most importantly, it shows that the boiling phenomenon introduces a disturbance into the AR models that can be clearly detected

  8. Forecasting River Flow in the USA: A Comparison between Auto-Regression and Neural Network Non-Parametric Models

    Directory of Open Access Journals (Sweden)

    Abdel K.M. Baareh

    2006-01-01

    Full Text Available Forecasting a time series became one of the most challenging tasks to variety of data sets. The existence of large number of parameters to be estimated and the effect of uncertainty and outliers in the measurements makes the time series modeling too complicated. Recently, Artificial Neural Network (ANN became quite successful tool to handle time series modeling problem. This paper provides a solution to the forecasting problem of the river flow for two well known Rivers in the USA. They are the Black Water River and the Gila River. The selected ANN models were used to train and forecast the daily flows of the first station no: 02047500, for the Black Water River near Dendron in Virginia and the second station no: 0944200 for the Gila River near Clifton in Arizona. The feed forward network is trained using the conventional back propagation learning algorithm with many variations in the NN inputs. We explored models built using various historical data. The selection process of various architectures and training data sets for the proposed NN models are presented. A comparative study of both ANN and the conventional Auto-Regression (AR model networks indicates that the artificial neural networks performed better than the AR model. Hence, we recommend ANN as a useful tool for river flow forecasting.

  9. Hybrid Support Vector Regression and Autoregressive Integrated Moving Average Models Improved by Particle Swarm Optimization for Property Crime Rates Forecasting with Economic Indicators

    OpenAIRE

    Razana Alwee; Siti Mariyam Hj Shamsuddin; Roselina Sallehuddin

    2013-01-01

    Crimes forecasting is an important area in the field of criminology. Linear models, such as regression and econometric models, are commonly applied in crime forecasting. However, in real crimes data, it is common that the data consists of both linear and nonlinear components. A single model may not be sufficient to identify all the characteristics of the data. The purpose of this study is to introduce a hybrid model that combines support vector regression (SVR) and autoregressive integrated m...

  10. Long-Term Prediction of Emergency Department Revenue and Visitor Volume Using Autoregressive Integrated Moving Average Model

    Directory of Open Access Journals (Sweden)

    Chieh-Fan Chen

    2011-01-01

    Full Text Available This study analyzed meteorological, clinical and economic factors in terms of their effects on monthly ED revenue and visitor volume. Monthly data from January 1, 2005 to September 30, 2009 were analyzed. Spearman correlation and cross-correlation analyses were performed to identify the correlation between each independent variable, ED revenue, and visitor volume. Autoregressive integrated moving average (ARIMA model was used to quantify the relationship between each independent variable, ED revenue, and visitor volume. The accuracies were evaluated by comparing model forecasts to actual values with mean absolute percentage of error. Sensitivity of prediction errors to model training time was also evaluated. The ARIMA models indicated that mean maximum temperature, relative humidity, rainfall, non-trauma, and trauma visits may correlate positively with ED revenue, but mean minimum temperature may correlate negatively with ED revenue. Moreover, mean minimum temperature and stock market index fluctuation may correlate positively with trauma visitor volume. Mean maximum temperature, relative humidity and stock market index fluctuation may correlate positively with non-trauma visitor volume. Mean maximum temperature and relative humidity may correlate positively with pediatric visitor volume, but mean minimum temperature may correlate negatively with pediatric visitor volume. The model also performed well in forecasting revenue and visitor volume.

  11. Time-frequency representation based on time-varying autoregressive model with applications to non-stationary rotor vibration analysis

    Indian Academy of Sciences (India)

    Long Zhang; Guoliang Xiong; Hesheng Liu; Huijun Zou; Weizhong Guo

    2010-04-01

    A parametric time-frequency representation is presented based on timevarying autoregressive model (TVAR), followed by applications to non-stationary vibration signal processing. The identification of time-varying model coefficients and the determination of model order, are addressed by means of neural networks and genetic algorithms, respectively. Firstly, a simulated signal which mimic the rotor vibration during run-up stages was processed for a comparative study on TVAR and other non-parametric time-frequency representations such as Short Time Fourier Transform, Continuous Wavelet Transform, Empirical Mode Decomposition, Wigner–Ville Distribution and Choi–Williams Distribution, in terms of their resolutions, accuracy, cross term suppression as well as noise resistance. Secondly, TVAR was applied to analyse non-stationary vibration signals collected from a rotor test rig during run-up stages, with an aim to extract fault symptoms under non-stationary operating conditions. Simulation and experimental results demonstrate that TVAR is an effective solution to non-stationary signal analysis and has strong capability in signal time-frequency feature extraction.

  12. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method. PMID:26550010

  13. Two Different Points of View through Artificial Intelligence and Vector Autoregressive Models for Ex Post and Ex Ante Forecasting.

    Science.gov (United States)

    Aydin, Alev Dilek; Caliskan Cavdar, Seyma

    2015-01-01

    The ANN method has been applied by means of multilayered feedforward neural networks (MLFNs) by using different macroeconomic variables such as the exchange rate of USD/TRY, gold prices, and the Borsa Istanbul (BIST) 100 index based on monthly data over the period of January 2000 and September 2014 for Turkey. Vector autoregressive (VAR) method has also been applied with the same variables for the same period of time. In this study, different from other studies conducted up to the present, ENCOG machine learning framework has been used along with JAVA programming language in order to constitute the ANN. The training of network has been done by resilient propagation method. The ex post and ex ante estimates obtained by the ANN method have been compared with the results obtained by the econometric forecasting method of VAR. Strikingly, our findings based on the ANN method reveal that there is a possibility of financial distress or a financial crisis in Turkey starting from October 2017. The results which were obtained with the method of VAR also support the results of ANN method. Additionally, our results indicate that the ANN approach has more superior prediction performance than the VAR method. PMID:26550010

  14. Deep AutoRegressive Networks

    OpenAIRE

    Gregor, Karol; Danihelka, Ivo; Mnih, Andriy; Blundell, Charles; Wierstra, Daan

    2013-01-01

    We introduce a deep, generative autoencoder capable of learning hierarchies of distributed representations from data. Successive deep stochastic hidden layers are equipped with autoregressive connections, which enable the model to be sampled from quickly and exactly via ancestral sampling. We derive an efficient approximate parameter estimation method based on the minimum description length (MDL) principle, which can be seen as maximising a variational lower bound on the log-likelihood, with ...

  15. Time-frequency analysis of heart rate variability during the cold pressor test using a time-varying autoregressive model

    International Nuclear Information System (INIS)

    Heart rate variability is a useful clinical tool for autonomic function assessment and cardiovascular disease diagnosis. To investigate the dynamic changes of sympathetic and parasympathetic activities during the cold pressor test, we used a time-varying autoregressive model for the time-frequency analysis of heart rate variability in 101 healthy subjects. We found that there were two sympathetic peaks (or two parasympathetic valleys) when the abrupt changes of temperature (ACT) occurred at the beginning and the end of the cold stimulus and that the sympathetic and parasympathetic activities returned to normal in about the last 2 min of the cold stimulus. These findings suggested that the ACT rather than the low temperature was the major cause of the sympathetic excitation and parasympathetic withdrawal. We also found that the onsets of the sympathetic peaks were 4–26 s prior to the ACT and the returns to normal were 54–57 s after the ACT, which could be interpreted as the feedforward and adaptation of the autonomic regulation process in the human body, respectively. These results might be helpful for understanding the regulatory mechanisms of the autonomic system and its effects on the cardiovascular system. (paper)

  16. Autoregressive modeling with exogenous input of middle-latency auditory-evoked potentials to measure rapid changes in depth of anesthesia

    DEFF Research Database (Denmark)

    Jensen, E W; Lindholm, P; Henneberg, S W

    1996-01-01

    Average (MTA). However, the MTA is time consuming because a large number of repetitions is needed to produce an estimate of the AEP. Hence, changes occurring over a small number of sweeps will not be detected by the MTA average. We describe a system-identification method, an autoregressive model with...... measured. These measurements showed that ARX-estimated compared to MTA-estimated AEP was significantly faster in tracing transition from consciousness to unconsciousness during propofol induction (p <0.05)....

  17. Exploring the Specifications of Spatial Adjacencies and Weights in Bayesian Spatial Modeling with Intrinsic Conditional Autoregressive Priors in a Small-area Study of Fall Injuries

    OpenAIRE

    Jane Law

    2016-01-01

    Intrinsic conditional autoregressive modeling in a Bayeisan hierarchical framework has been increasingly applied in small-area ecological studies. This study explores the specifications of spatial structure in this Bayesian framework in two aspects: adjacency, i.e., the set of neighbor(s) for each area; and (spatial) weight for each pair of neighbors. Our analysis was based on a small-area study of falling injuries among people age 65 and older in Ontario, Canada, that was aimed to estimate r...

  18. Sufficient conditions for rate-independent hysteresis in autoregressive identified models

    Science.gov (United States)

    Martins, Samir Angelo Milani; Aguirre, Luis Antonio

    2016-06-01

    This paper shows how hysteresis can be described using polynomial models and what are the sufficient conditions to be met by the model in order to have hysteresis. Such conditions are related to the model equilibria, to the forcing function and to certain term clusters in the polynomial models. The main results of the paper are used in the identification and analysis of nonlinear models estimated from data produced by a magneto-rheological damper (MRD) model with Bouc-Wen rate-independent hysteresis. A striking feature of the identified model is its simplicity and this could turn out to be a key factor in controller design.

  19. A Poisson-lognormal conditional-autoregressive model for multivariate spatial analysis of pedestrian crash counts across neighborhoods.

    Science.gov (United States)

    Wang, Yiyi; Kockelman, Kara M

    2013-11-01

    This work examines the relationship between 3-year pedestrian crash counts across Census tracts in Austin, Texas, and various land use, network, and demographic attributes, such as land use balance, residents' access to commercial land uses, sidewalk density, lane-mile densities (by roadway class), and population and employment densities (by type). The model specification allows for region-specific heterogeneity, correlation across response types, and spatial autocorrelation via a Poisson-based multivariate conditional auto-regressive (CAR) framework and is estimated using Bayesian Markov chain Monte Carlo methods. Least-squares regression estimates of walk-miles traveled per zone serve as the exposure measure. Here, the Poisson-lognormal multivariate CAR model outperforms an aspatial Poisson-lognormal multivariate model and a spatial model (without cross-severity correlation), both in terms of fit and inference. Positive spatial autocorrelation emerges across neighborhoods, as expected (due to latent heterogeneity or missing variables that trend in space, resulting in spatial clustering of crash counts). In comparison, the positive aspatial, bivariate cross correlation of severe (fatal or incapacitating) and non-severe crash rates reflects latent covariates that have impacts across severity levels but are more local in nature (such as lighting conditions and local sight obstructions), along with spatially lagged cross correlation. Results also suggest greater mixing of residences and commercial land uses is associated with higher pedestrian crash risk across different severity levels, ceteris paribus, presumably since such access produces more potential conflicts between pedestrian and vehicle movements. Interestingly, network densities show variable effects, and sidewalk provision is associated with lower severe-crash rates. PMID:24036167

  20. Day of the year-based prediction of horizontal global solar radiation by a neural network auto-regressive model

    Science.gov (United States)

    Gani, Abdullah; Mohammadi, Kasra; Shamshirband, Shahaboddin; Khorasanizadeh, Hossein; Seyed Danesh, Amir; Piri, Jamshid; Ismail, Zuraini; Zamani, Mazdak

    2016-08-01

    The availability of accurate solar radiation data is essential for designing as well as simulating the solar energy systems. In this study, by employing the long-term daily measured solar data, a neural network auto-regressive model with exogenous inputs (NN-ARX) is applied to predict daily horizontal global solar radiation using day of the year as the sole input. The prime aim is to provide a convenient and precise way for rapid daily global solar radiation prediction, for the stations and their immediate surroundings with such an observation, without utilizing any meteorological-based inputs. To fulfill this, seven Iranian cities with different geographical locations and solar radiation characteristics are considered as case studies. The performance of NN-ARX is compared against the adaptive neuro-fuzzy inference system (ANFIS). The achieved results prove that day of the year-based prediction of daily global solar radiation by both NN-ARX and ANFIS models would be highly feasible owing to the accurate predictions attained. Nevertheless, the statistical analysis indicates the superiority of NN-ARX over ANFIS. In fact, the NN-ARX model represents high potential to follow the measured data favorably for all cities. For the considered cities, the attained statistical indicators of mean absolute bias error, root mean square error, and coefficient of determination for the NN-ARX models are in the ranges of 0.44-0.61 kWh/m2, 0.50-0.71 kWh/m2, and 0.78-0.91, respectively.

  1. Day of the year-based prediction of horizontal global solar radiation by a neural network auto-regressive model

    Science.gov (United States)

    Gani, Abdullah; Mohammadi, Kasra; Shamshirband, Shahaboddin; Khorasanizadeh, Hossein; Seyed Danesh, Amir; Piri, Jamshid; Ismail, Zuraini; Zamani, Mazdak

    2015-06-01

    The availability of accurate solar radiation data is essential for designing as well as simulating the solar energy systems. In this study, by employing the long-term daily measured solar data, a neural network auto-regressive model with exogenous inputs (NN-ARX) is applied to predict daily horizontal global solar radiation using day of the year as the sole input. The prime aim is to provide a convenient and precise way for rapid daily global solar radiation prediction, for the stations and their immediate surroundings with such an observation, without utilizing any meteorological-based inputs. To fulfill this, seven Iranian cities with different geographical locations and solar radiation characteristics are considered as case studies. The performance of NN-ARX is compared against the adaptive neuro-fuzzy inference system (ANFIS). The achieved results prove that day of the year-based prediction of daily global solar radiation by both NN-ARX and ANFIS models would be highly feasible owing to the accurate predictions attained. Nevertheless, the statistical analysis indicates the superiority of NN-ARX over ANFIS. In fact, the NN-ARX model represents high potential to follow the measured data favorably for all cities. For the considered cities, the attained statistical indicators of mean absolute bias error, root mean square error, and coefficient of determination for the NN-ARX models are in the ranges of 0.44-0.61 kWh/m2, 0.50-0.71 kWh/m2, and 0.78-0.91, respectively.

  2. Forecasting Medium and Large Datasets with Vector Autoregressive Moving Average (VARMA) Models

    DEFF Research Database (Denmark)

    Dias, Gustavo Fruet; Kapetanios, George

    We adress the issue of modelling and forecasting macroeconomic variables using medium and large datasets, by adopting VARMA models. We overcome the estimation issue that arises with this class of models by implementing an iterative ordinary least squares (IOLS) estimator. We establish the...

  3. Bootstrapping the portmanteau tests in weak auto-regressive moving average models

    OpenAIRE

    Zhu, Ke

    2015-01-01

    This paper uses a random weighting (RW) method to bootstrap the critical values for the Ljung-Box/Monti portmanteau tests and weighted Ljung-Box/Monti portmanteau tests in weak ARMA models. Unlike the existing methods, no user-chosen parameter is needed to implement the RW method. As an application, these four tests are used to check the model adequacy in power GARCH models. Simulation evidence indicates that the weighted portmanteau tests have the power advantage over other existing tests...

  4. Non-contact video-based vital sign monitoring using ambient light and auto-regressive models.

    Science.gov (United States)

    Tarassenko, L; Villarroel, M; Guazzi, A; Jorge, J; Clifton, D A; Pugh, C

    2014-05-01

    Remote sensing of the reflectance photoplethysmogram using a video camera typically positioned 1 m away from the patient's face is a promising method for monitoring the vital signs of patients without attaching any electrodes or sensors to them. Most of the papers in the literature on non-contact vital sign monitoring report results on human volunteers in controlled environments. We have been able to obtain estimates of heart rate and respiratory rate and preliminary results on changes in oxygen saturation from double-monitored patients undergoing haemodialysis in the Oxford Kidney Unit. To achieve this, we have devised a novel method of cancelling out aliased frequency components caused by artificial light flicker, using auto-regressive (AR) modelling and pole cancellation. Secondly, we have been able to construct accurate maps of the spatial distribution of heart rate and respiratory rate information from the coefficients of the AR model. In stable sections with minimal patient motion, the mean absolute error between the camera-derived estimate of heart rate and the reference value from a pulse oximeter is similar to the mean absolute error between two pulse oximeter measurements at different sites (finger and earlobe). The activities of daily living affect the respiratory rate, but the camera-derived estimates of this parameter are at least as accurate as those derived from a thoracic expansion sensor (chest belt). During a period of obstructive sleep apnoea, we tracked changes in oxygen saturation using the ratio of normalized reflectance changes in two colour channels (red and blue), but this required calibration against the reference data from a pulse oximeter. PMID:24681430

  5. Non-contact video-based vital sign monitoring using ambient light and auto-regressive models

    International Nuclear Information System (INIS)

    Remote sensing of the reflectance photoplethysmogram using a video camera typically positioned 1 m away from the patient’s face is a promising method for monitoring the vital signs of patients without attaching any electrodes or sensors to them. Most of the papers in the literature on non-contact vital sign monitoring report results on human volunteers in controlled environments. We have been able to obtain estimates of heart rate and respiratory rate and preliminary results on changes in oxygen saturation from double-monitored patients undergoing haemodialysis in the Oxford Kidney Unit. To achieve this, we have devised a novel method of cancelling out aliased frequency components caused by artificial light flicker, using auto-regressive (AR) modelling and pole cancellation. Secondly, we have been able to construct accurate maps of the spatial distribution of heart rate and respiratory rate information from the coefficients of the AR model. In stable sections with minimal patient motion, the mean absolute error between the camera-derived estimate of heart rate and the reference value from a pulse oximeter is similar to the mean absolute error between two pulse oximeter measurements at different sites (finger and earlobe). The activities of daily living affect the respiratory rate, but the camera-derived estimates of this parameter are at least as accurate as those derived from a thoracic expansion sensor (chest belt). During a period of obstructive sleep apnoea, we tracked changes in oxygen saturation using the ratio of normalized reflectance changes in two colour channels (red and blue), but this required calibration against the reference data from a pulse oximeter. (paper)

  6. Conditional Correlation Models of Autoregressive Conditional Heteroskedasticity with Nonstationary GARCH Equations

    DEFF Research Database (Denmark)

    Amado, Cristina; Teräsvirta, Timo

    In this paper we investigate the effects of careful modelling the long-run dynamics of the volatilities of stock market returns on the conditional correlation structure. To this end we allow the individual unconditional variances in Conditional Correlation GARCH models to change smoothly over time...... combine the long-run and the short-run dynamic behaviour of the volatilities. The structure of the conditional correlation matrix is assumed to be either time independent or to vary over time. We apply our model to pairs of seven daily stock returns belonging to the S&P 500 composite index and traded at...... the New York Stock Exchange. The results suggest that accounting for deterministic changes in the unconditional variances considerably improves the fit of the multivariate Conditional Correlation GARCH models to the data. The effect of careful specification of the variance equations on the estimated...

  7. Semi-Parametric, Generalized Additive Vector Autoregressive Models of Spatial Price Dynamics

    OpenAIRE

    Guney, Selin; Barry K. Goodwin

    2013-01-01

    An extensive empirical literature addressing the behavior of prices over time and across spatially distinct markets has grown substantially over time. A fundamental axiom of economics--the "Law of One Price"--underlies the arbitrage behavior thought to characterize such relationships. This literature has progressed from a simple consideration of correlation coecents and linear regression models to classes of models that address particular time series properties of price data and consider nonl...

  8. An application of Auto-regressive (AR) model in predicting Aeroelastic Effectsof Lekki Cable Stayed Bridge

    OpenAIRE

    Hassan Abba Musa; Dr. A. Mohammed

    2016-01-01

    In current practice, the predictive analysis of stochastic problems encompasses a variety of statistical techniques from modeling, machine, and data mining that analyse current and historical facts to make predictions about future. Therefore, this research uses an AR Model whose codes are incorporated in the MATLAB software to predict possible aero-elastic effects of Lekki Bridge based on its existing parametric data and the conditions around the bridge. It was seen that, the fluc...

  9. Specification, Estimation and Evaluation of Vector Smooth Transition Autoregressive Models with Applications

    DEFF Research Database (Denmark)

    Teräsvirta, Timo; Yang, Yukai

    illustrated by two applications. In the first one, the dynamic relationship between the US gasoline price and consumption is studied and possible asymmetries in it considered. The second application consists of modelling two well known Icelandic riverflow series, previously considered by many hydrologists and...

  10. The Employment of spatial autoregressive models in predicting demand for natural gas

    International Nuclear Information System (INIS)

    Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)

  11. An application of Auto-regressive (AR model in predicting Aeroelastic Effectsof Lekki Cable Stayed Bridge

    Directory of Open Access Journals (Sweden)

    Hassan Abba Musa

    2016-06-01

    Full Text Available In current practice, the predictive analysis of stochastic problems encompasses a variety of statistical techniques from modeling, machine, and data mining that analyse current and historical facts to make predictions about future. Therefore, this research uses an AR Model whose codes are incorporated in the MATLAB software to predict possible aero-elastic effects of Lekki Bridge based on its existing parametric data and the conditions around the bridge. It was seen that, the fluctuating components of the wind velocity as displayed by the fluctuant curve will result in the vibration of the structure, even strengthening the resonance effect of the structure. Therefore, it suggested that, the natural frequency of the bridge should be set aside far from system frequency considering direct parametric excitation of pedestrian or vehicular traffic speed.

  12. Testing Parameter Constancy in Unit Root Autoregressive Models Against Continuous Change

    OpenAIRE

    He, Changli; Sandberg, Rickard

    2005-01-01

    In this paper we derive tests for parameter constancy when the data generating process is non-stationary against the hypothesis that the parameters of the model change smoothly over time. To obtain the asymptotic distributions of the tests we generalize many theoretical results, as well as new are introduced, in the area of unit roots. The results are derived under the assumption that the error term is a strong mixing. Small sample properties of the tests are investigated, and in particular, ...

  13. FACE EXPRESSION RECOGNITION USING AUTOREGRESSIVE MODELS TO TRAIN NEURAL NETWORK CLASSIFIERS

    OpenAIRE

    M. Saaidia; A. Gattal; M. Maamri; M. Ramdani

    2012-01-01

    Neural network classifying method is used in this work to perform facial expression recognition. The processed expressions were the six most pertinent facial expressions and the neutral one. This operation was implemented in three steps. First, a neural network, trained using Zernike moments, was applied to the set of the well known Yale and JAFFE database images to perform face detection. In the second step, Auto Regressive modeling (AR) using 2D- Burg and Levinson filters was used for facia...

  14. Virtual prototype and experimental research on gear multi-fault diagnosis using wavelet-autoregressive model and principal component analysis method

    Science.gov (United States)

    Li, Zhixiong; Yan, Xinping; Yuan, Chengqing; Peng, Zhongxiao; Li, Li

    2011-10-01

    Gear systems are an essential element widely used in a variety of industrial applications. Since approximately 80% of the breakdowns in transmission machinery are caused by gear failure, the efficiency of early fault detection and accurate fault diagnosis are therefore critical to normal machinery operations. Reviewed literature indicates that only limited research has considered the gear multi-fault diagnosis, especially for single, coupled distributed and localized faults. Through virtual prototype simulation analysis and experimental study, a novel method for gear multi-fault diagnosis has been presented in this paper. This new method was developed based on the integration of Wavelet transform (WT) technique, Autoregressive (AR) model and Principal Component Analysis (PCA) for fault detection. The WT method was used in the study as the de-noising technique for processing raw vibration signals. Compared with the noise removing method based on the time synchronous average (TSA), the WT technique can be performed directly on the raw vibration signals without the need to calculate any ensemble average of the tested gear vibration signals. More importantly, the WT can deal with coupled faults of a gear pair in one operation while the TSA must be carried out several times for multiple fault detection. The analysis results of the virtual prototype simulation prove that the proposed method is a more time efficient and effective way to detect coupled fault than TSA, and the fault classification rate is superior to the TSA based approaches. In the experimental tests, the proposed method was compared with the Mahalanobis distance approach. However, the latter turns out to be inefficient for the gear multi-fault diagnosis. Its defect detection rate is below 60%, which is much less than that of the proposed method. Furthermore, the ability of the AR model to cope with localized as well as distributed gear faults is verified by both the virtual prototype simulation and

  15. OLS Estimator for a Mixed Regressive, Spatial Autoregressive Model: Extended Version

    OpenAIRE

    Mynbaev, Kairat

    2009-01-01

    We find the asymptotic distribution of the OLS estimator of the parameters $% \\beta$ and $\\rho$ in the mixed spatial model with exogenous regressors $% Y_n=X_n\\beta+\\rho W_nY_n+V_n$. The exogenous regressors may be bounded or growing, like polynomial trends. The assumption about the spatial matrix $W_n $ is appropriate for the situation when each economic agent is influenced by many others. The error term is a short-memory linear process. The key finding is that in general the asymptotic dist...

  16. Dangers and uses of cross-correlation in analyzing time series in perception, performance, movement, and neuroscience: The importance of constructing transfer function autoregressive models.

    Science.gov (United States)

    Dean, Roger T; Dunsmuir, William T M

    2016-06-01

    Many articles on perception, performance, psychophysiology, and neuroscience seek to relate pairs of time series through assessments of their cross-correlations. Most such series are individually autocorrelated: they do not comprise independent values. Given this situation, an unfounded reliance is often placed on cross-correlation as an indicator of relationships (e.g., referent vs. response, leading vs. following). Such cross-correlations can indicate spurious relationships, because of autocorrelation. Given these dangers, we here simulated how and why such spurious conclusions can arise, to provide an approach to resolving them. We show that when multiple pairs of series are aggregated in several different ways for a cross-correlation analysis, problems remain. Finally, even a genuine cross-correlation function does not answer key motivating questions, such as whether there are likely causal relationships between the series. Thus, we illustrate how to obtain a transfer function describing such relationships, informed by any genuine cross-correlations. We illustrate the confounds and the meaningful transfer functions by two concrete examples, one each in perception and performance, together with key elements of the R software code needed. The approach involves autocorrelation functions, the establishment of stationarity, prewhitening, the determination of cross-correlation functions, the assessment of Granger causality, and autoregressive model development. Autocorrelation also limits the interpretability of other measures of possible relationships between pairs of time series, such as mutual information. We emphasize that further complexity may be required as the appropriate analysis is pursued fully, and that causal intervention experiments will likely also be needed. PMID:26100765

  17. 一种基于加权隐马尔可夫的自回归状态预测模型%Research on Condition Trend Prediction Based on Weighed Hidden Markov and Autoregressive Model

    Institute of Scientific and Technical Information of China (English)

    刘震; 王厚军; 龙兵; 张治国

    2009-01-01

    针对电子系统状态趋势预测问题,提出了一种加权隐马尔可夫模型的自回归趋势预测方法.该方法以自回归模型作为隐马尔可夫的状态输出,利用加权预测思想对马尔可夫链中的隐状态进行混合高斯模型的加权序列预测,并利用最大概率隐状态下的自回归系数计算模型输出.通过对实际的复杂混沌序列和电子系统BIT状态数据进行趋势预测,并针对不同模型参数下的预测结果进行实验分析,结果表明该方法对系统状态变化的趋势具有较好的预测性能.%A novel trend prediction approach based on weighed hidden Markov model (HMM) and autoregressive model (AR) is presented in order to solve this problem of bend prediction for complex electronic system. This approach regards the autoregressive model as the output of HMM, uses weighted prediction method and mixed Gaussianin model to predict the hidden state of Markov chain,and calculates the output of model by using the regression coefficient of the maximum probability hidden state. This approach is applied to the trend prediction of complex chaotic time series and typical electronic equipment's BIT data, and the effects of various model parameters on trend prediction precision are discussed.The experiments based on condition trend prediction for electronic equipments demonstrate the effectiveness of the method.

  18. Data-Driven Inference on Sign Restrictions in Bayesian Structural Vector Autoregression

    DEFF Research Database (Denmark)

    Lanne, Markku; Luoto, Jani

    Sign-identified structural vector autoregressive (SVAR) models have recently become popular. However, the conventional approach to sign restrictions only yields set identification, and implicitly assumes an informative prior distribution of the impulse responses whose influence does not vanish as...... methods by two empirical applications to U.S. macroeconomic data....

  19. Exploring the Mechanisms of Ecological Land Change Based on the Spatial Autoregressive Model: A Case Study of the Poyang Lake Eco-Economic Zone, China

    Directory of Open Access Journals (Sweden)

    Hualin Xie

    2013-12-01

    Full Text Available Ecological land is one of the key resources and conditions for the survival of humans because it can provide ecosystem services and is particularly important to public health and safety. It is extremely valuable for effective ecological management to explore the evolution mechanisms of ecological land. Based on spatial statistical analyses, we explored the spatial disparities and primary potential drivers of ecological land change in the Poyang Lake Eco-economic Zone of China. The results demonstrated that the global Moran’s I value is 0.1646 during the 1990 to 2005 time period and indicated significant positive spatial correlation (p < 0.05. The results also imply that the clustering trend of ecological land changes weakened in the study area. Some potential driving forces were identified by applying the spatial autoregressive model in this study. The results demonstrated that the higher economic development level and industrialization rate were the main drivers for the faster change of ecological land in the study area. This study also tested the superiority of the spatial autoregressive model to study the mechanisms of ecological land change by comparing it with the traditional linear regressive model.

  20. Autoregressive description of biological phenomena

    CERN Document Server

    Morariu, Vasile V; Pop, Alexadru; Soltuz, Stefan M; Buimaga-Iarinca, Luiza; Zainea, Oana

    2008-01-01

    Many natural phenomena can be described by power-laws. A closer look at various experimental data reveals more or less significant deviations from a 1/f spectrum. We exemplify such cases with phenomena offered by molecular biology, cell biophysics, and cognitive psychology. Some of these cases can be described by first order autoregressive (AR) models or by higher order AR models which are short range correlation models. The calculations are checked against astrophysical data which were fitted to a an AR model by a different method. We found that our fitting method of the data give similar results for the astrhophysical data and therefore applied the method for examples mentioned above. Our results show that such phenomena can be described by first or higher order of AR models. Therefore such examples are described by short range correlation properties while they can be easily confounded with long range correlation phenomena.

  1. Oracle Inequalities for High Dimensional Vector Autoregressions

    DEFF Research Database (Denmark)

    Callot, Laurent; Kock, Anders Bredahl

    This paper establishes non-asymptotic oracle inequalities for the prediction error and estimation accuracy of the LASSO in stationary vector autoregressive models. These inequalities are used to establish consistency of the LASSO even when the number of parameters is of a much larger order of...... hence the correct sparsity pattern). Finally conditions under which the Adaptive LASSO reveals the correct sign pattern with probability tending to one are given. Again, the number of parameters may be much larger than the sample size. Some maximal inequalities for vector autoregressions which might be...

  2. A wavelet-based non-linear autoregressive with exogenous inputs (WNARX) dynamic neural network model for real-time flood forecasting using satellite-based rainfall products

    Science.gov (United States)

    Nanda, Trushnamayee; Sahoo, Bhabagrahi; Beria, Harsh; Chatterjee, Chandranath

    2016-08-01

    Although flood forecasting and warning system is a very important non-structural measure in flood-prone river basins, poor raingauge network as well as unavailability of rainfall data in real-time could hinder its accuracy at different lead times. Conversely, since the real-time satellite-based rainfall products are now becoming available for the data-scarce regions, their integration with the data-driven models could be effectively used for real-time flood forecasting. To address these issues in operational streamflow forecasting, a new data-driven model, namely, the wavelet-based non-linear autoregressive with exogenous inputs (WNARX) is proposed and evaluated in comparison with four other data-driven models, viz., the linear autoregressive moving average with exogenous inputs (ARMAX), static artificial neural network (ANN), wavelet-based ANN (WANN), and dynamic nonlinear autoregressive with exogenous inputs (NARX) models. First, the quality of input rainfall products of Tropical Rainfall Measuring Mission Multi-satellite Precipitation Analysis (TMPA), viz., TRMM and TRMM-real-time (RT) rainfall products is assessed through statistical evaluation. The results reveal that the satellite rainfall products moderately correlate with the observed rainfall, with the gauge-adjusted TRMM product outperforming the real-time TRMM-RT product. The TRMM rainfall product better captures the ground observations up to 95 percentile range (30.11 mm/day), although the hit rate decreases for high rainfall intensity. The effect of antecedent rainfall (AR) and climate forecast system reanalysis (CFSR) temperature product on the catchment response is tested in all the developed models. The results reveal that, during real-time flow simulation, the satellite-based rainfall products generally perform worse than the gauge-based rainfall. Moreover, as compared to the existing models, the flow forecasting by the WNARX model is way better than the other four models studied herein with the

  3. A novel framework to simulating non-stationary, non-linear, non-Normal hydrological time series using Markov Switching Autoregressive Models

    Science.gov (United States)

    Birkel, C.; Paroli, R.; Spezia, L.; Tetzlaff, D.; Soulsby, C.

    2012-12-01

    In this paper we present a novel model framework using the class of Markov Switching Autoregressive Models (MSARMs) to examine catchments as complex stochastic systems that exhibit non-stationary, non-linear and non-Normal rainfall-runoff and solute dynamics. Hereby, MSARMs are pairs of stochastic processes, one observed and one unobserved, or hidden. We model the unobserved process as a finite state Markov chain and assume that the observed process, given the hidden Markov chain, is conditionally autoregressive, which means that the current observation depends on its recent past (system memory). The model is fully embedded in a Bayesian analysis based on Markov Chain Monte Carlo (MCMC) algorithms for model selection and uncertainty assessment. Hereby, the autoregressive order and the dimension of the hidden Markov chain state-space are essentially self-selected. The hidden states of the Markov chain represent unobserved levels of variability in the observed process that may result from complex interactions of hydroclimatic variability on the one hand and catchment characteristics affecting water and solute storage on the other. To deal with non-stationarity, additional meteorological and hydrological time series along with a periodic component can be included in the MSARMs as covariates. This extension allows identification of potential underlying drivers of temporal rainfall-runoff and solute dynamics. We applied the MSAR model framework to streamflow and conservative tracer (deuterium and oxygen-18) time series from an intensively monitored 2.3 km2 experimental catchment in eastern Scotland. Statistical time series analysis, in the form of MSARMs, suggested that the streamflow and isotope tracer time series are not controlled by simple linear rules. MSARMs showed that the dependence of current observations on past inputs observed by transport models often in form of the long-tailing of travel time and residence time distributions can be efficiently explained by

  4. Comparison of autoregressive (AR) strategy with that of regression approach for determining ozone layer depletion as a physical process

    International Nuclear Information System (INIS)

    This communication presents the development of a comprehensive characterization of ozone layer depletion (OLD) phenomenon as a physical process in the form of mathematical models that comprise the usual regression, multiple or polynomial regression and stochastic strategy. The relevance of these models has been illuminated using predicted values of different parameters under a changing environment. The information obtained from such analysis can be employed to alter the possible factors and variables to achieve optimum performance. This kind of analysis initiates a study towards formulating the phenomenon of OLD as a physical process with special reference to the stratospheric region of Pakistan. The data presented here establishes that the Auto regressive (AR) nature of modeling OLD as a physical process is an appropriate scenario rather than using usual regression. The data reported in literature suggest quantitatively the OLD is occurring in our region. For this purpose we have modeled this phenomenon using the data recorded at the Geophysical Centre Quetta during the period 1960-1999. The predictions made by this analysis are useful for public, private and other relevant organizations. (author)

  5. Hybrid Support Vector Regression and Autoregressive Integrated Moving Average Models Improved by Particle Swarm Optimization for Property Crime Rates Forecasting with Economic Indicators

    Directory of Open Access Journals (Sweden)

    Razana Alwee

    2013-01-01

    Full Text Available Crimes forecasting is an important area in the field of criminology. Linear models, such as regression and econometric models, are commonly applied in crime forecasting. However, in real crimes data, it is common that the data consists of both linear and nonlinear components. A single model may not be sufficient to identify all the characteristics of the data. The purpose of this study is to introduce a hybrid model that combines support vector regression (SVR and autoregressive integrated moving average (ARIMA to be applied in crime rates forecasting. SVR is very robust with small training data and high-dimensional problem. Meanwhile, ARIMA has the ability to model several types of time series. However, the accuracy of the SVR model depends on values of its parameters, while ARIMA is not robust to be applied to small data sets. Therefore, to overcome this problem, particle swarm optimization is used to estimate the parameters of the SVR and ARIMA models. The proposed hybrid model is used to forecast the property crime rates of the United State based on economic indicators. The experimental results show that the proposed hybrid model is able to produce more accurate forecasting results as compared to the individual models.

  6. Estimation of Time Varying Autoregressive Symmetric Alpha Stable

    Data.gov (United States)

    National Aeronautics and Space Administration — In this work, we present a novel method for modeling time-varying autoregressive impulsive signals driven by symmetric alpha stable distributions. The proposed...

  7. Monitoring time-varying parameters in an autoregression

    OpenAIRE

    Carsoule, Frédéric; Franses, Philip Hans

    1999-01-01

    textabstractWe develop a sequential testing approach for a structural change in the parameters of an autoregression, which amounts to a monitoring procedure with a controlled asymptotic size as we repeat the test. Our method can be used as a general misspecification test. We apply our method to monthly US industrial production in order to investigate if its autoregressive behavior and/or its innovation variance have changed during the twentieth century.

  8. Comparison of hidden and observed regime-switching autoregressive models for (u, v)-components of wind fields in the northeastern Atlantic

    Science.gov (United States)

    Bessac, Julie; Ailliot, Pierre; Cattiaux, Julien; Monbet, Valerie

    2016-02-01

    Several multi-site stochastic generators of zonal and meridional components of wind are proposed in this paper. A regime-switching framework is introduced to account for the alternation of intensity and variability that is observed in wind conditions due to the existence of different weather types. This modeling blocks time series into periods in which the series is described by a single model. The regime-switching is modeled by a discrete variable that can be introduced as a latent (or hidden) variable or as an observed variable. In the latter case a clustering algorithm is used before fitting the model to extract the regime. Conditional on the regimes, the observed wind conditions are assumed to evolve as a linear Gaussian vector autoregressive (VAR) model. Various questions are explored, such as the modeling of the regime in a multi-site context, the extraction of relevant clusterings from extra variables or from the local wind data, and the link between weather types extracted from wind data and large-scale weather regimes derived from a descriptor of the atmospheric circulation. We also discuss the relative advantages of hidden and observed regime-switching models. For artificial stochastic generation of wind sequences, we show that the proposed models reproduce the average space-time motions of wind conditions, and we highlight the advantage of regime-switching models in reproducing the alternation of intensity and variability in wind conditions.

  9. Comparison of the ARMA, ARIMA, and the autoregressive artificial neural network models in forecasting the monthly inflow of Dez dam reservoir

    Science.gov (United States)

    Valipour, Mohammad; Banihabib, Mohammad Ebrahim; Behbahani, Seyyed Mahmood Reza

    2013-01-01

    SummaryThe goal of the present research is forecasting the inflow of Dez dam reservoir by using Auto Regressive Moving Average (ARMA) and Auto Regressive Integrated Moving Average (ARIMA) models while increasing the number of parameters in order to increase the forecast accuracy to four parameters and comparing them with the static and dynamic artificial neural networks. In this research, monthly discharges from 1960 to 2007 were used. The statistics related to first 42 years were used to train the models and the 5 past years were used to forecast. In ARMA and ARIMA models, the polynomial was derived respectively with four and six parameters to forecast the inflow. In the artificial neural network, the radial and sigmoid activity functions were used with several different neurons in the hidden layers. By comparing root mean square error (RMSE) and mean bias error (MBE), dynamic artificial neural network model with sigmoid activity function and 17 neurons in the hidden layer was chosen as the best model for forecasting inflow of the Dez dam reservoir. Inflow of the dam reservoir in the 12 past months shows that ARIMA model had a less error compared with the ARMA model. Static and Dynamic autoregressive artificial neural networks with activity sigmoid function can forecast the inflow to the dam reservoirs from the past 60 months.

  10. Autoregressive moving average (ARMA) model applied to quantification of cerebral blood flow using dynamic susceptibility contrast-enhanced magnetic resonance imaging

    International Nuclear Information System (INIS)

    The purpose of this study was to investigate the feasibility of the autoregressive moving average (ARMA) model for quantification of cerebral blood flow (CBF) with dynamic susceptibility contrast-enhanced magnetic resonance imaging (DSC-MRI) in comparison with deconvolution analysis based on singular value decomposition (DA-SVD). Using computer simulations, we generated a time-dependent concentration of the contrast agent in the volume of interest (VOI) from the arterial input function (AIF) modeled as a gamma-variate function under various CBFs, cerebral blood volumes and signal-to-noise ratios (SNRs) for three different types of residue function (exponential, triangular, and box-shaped). We also considered the effects of delay and dispersion in AIF. The ARMA model and DA-SVD were used to estimate CBF values from the simulated concentration-time curves in the VOI and AIFs, and the estimated values were compared with the assumed values. We found that the CBF value estimated by the ARMA model was more sensitive to the SNR and the delay in AIF than that obtained by DA-SVD. Although the ARMA model considerably overestimated CBF at low SNRs, it estimated the CBF more accurately than did DA-SVD at high SNRs for the exponential or triangular residue function. We believe this study will contribute to an understanding of the usefulness and limitations of the ARMA model when applied to quantification of CBF with DSC-MRI. (author)

  11. Testing second order dynamics for autoregressive processes in presence of time-varying variance

    OpenAIRE

    Patilea, Valentin; Raïssi, Hamdi

    2012-01-01

    The volatility modeling for autoregressive univariate time series is considered. A benchmark approach is the stationary ARCH model of Engle (1982). Motivated by real data evidence, processes with non constant unconditional variance and ARCH effects have been recently introduced. We take into account such possible non stationarity and propose simple testing procedures for ARCH effects. Adaptive McLeod and Li's portmanteau and ARCH-LM tests for checking for second order dynamics are provided. T...

  12. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size

    OpenAIRE

    Zhihua Wang; Yongbo Zhang; Huimin Fu

    2014-01-01

    Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR) prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each predictio...

  13. MODELADO DEL PRECIO SPOT DE LA ELECTRICIDAD EN BRASIL USANDO UNA RED NEURONAL AUTORREGRESIVA ELECTRICITY SPOT PRICE MODELLING IN BRASIL USING AN AUTOREGRESSIVE NEURAL NETWORK

    Directory of Open Access Journals (Sweden)

    Juan D Velásquez

    2008-12-01

    Full Text Available Una red neuronal autorregresiva es estimada para el precio mensual brasileño de corto plazo de la electricidad, la cual describe mejor la dinámica de los precios que un modelo lineal autorregresivo y que un perceptrón multicapa clásico que usan las mismas entradas y neuronas en la capa oculta. El modelo propuesto es especificado usando un procedimiento estadístico basado en el contraste del radio de verosimilitud. El modelo pasa una batería de pruebas de diagnóstico. El procedimiento de especificación propuesto permite seleccionar el número de unidades en la capa oculta y las entradas a la red neuronal, usando pruebas estadísticas que tienen en cuenta la cantidad de los datos y el ajuste del modelo a la serie de precios. La especificación del modelo final demuestra que el precio para el próximo mes es una función no lineal del precio actual, de la energía afluente actual y de la energía almacenada en el embalse equivalente en el mes actual y dos meses atrás.An autoregressive neural network model is estimated for the monthly Brazilian electricity spot price, which describes the prices dynamics better than a linear autoregressive model and a classical multilayer perceptron using the same input and neurons in the hidden layer. The proposed model is specified using a statistical procedure based on a likelihood ratio test. The model passes a battery of diagnostic tests. The proposed specification procedure allows us to select the number of units in hidden layer and the inputs to the neural network based on statistical tests, taking into account the number of data and the model fitting to the price time series. The final model specification demonstrates that the price for the next month is a nonlinear function of the current price, the current energy inflow, and the energy saved in the equivalent reservoir in the current month and two months ago.

  14. Application of a Combined Model with Autoregressive Integrated Moving Average (ARIMA) and Generalized Regression Neural Network (GRNN) in Forecasting Hepatitis Incidence in Heng County, China

    Science.gov (United States)

    Liang, Hao; Gao, Lian; Liang, Bingyu; Huang, Jiegang; Zang, Ning; Liao, Yanyan; Yu, Jun; Lai, Jingzhen; Qin, Fengxiang; Su, Jinming; Ye, Li; Chen, Hui

    2016-01-01

    Background Hepatitis is a serious public health problem with increasing cases and property damage in Heng County. It is necessary to develop a model to predict the hepatitis epidemic that could be useful for preventing this disease. Methods The autoregressive integrated moving average (ARIMA) model and the generalized regression neural network (GRNN) model were used to fit the incidence data from the Heng County CDC (Center for Disease Control and Prevention) from January 2005 to December 2012. Then, the ARIMA-GRNN hybrid model was developed. The incidence data from January 2013 to December 2013 were used to validate the models. Several parameters, including mean absolute error (MAE), root mean square error (RMSE), mean absolute percentage error (MAPE) and mean square error (MSE), were used to compare the performance among the three models. Results The morbidity of hepatitis from Jan 2005 to Dec 2012 has seasonal variation and slightly rising trend. The ARIMA(0,1,2)(1,1,1)12 model was the most appropriate one with the residual test showing a white noise sequence. The smoothing factor of the basic GRNN model and the combined model was 1.8 and 0.07, respectively. The four parameters of the hybrid model were lower than those of the two single models in the validation. The parameters values of the GRNN model were the lowest in the fitting of the three models. Conclusions The hybrid ARIMA-GRNN model showed better hepatitis incidence forecasting in Heng County than the single ARIMA model and the basic GRNN model. It is a potential decision-supportive tool for controlling hepatitis in Heng County. PMID:27258555

  15. Fouling resistance prediction using artificial neural network nonlinear auto-regressive with exogenous input model based on operating conditions and fluid properties correlations

    Science.gov (United States)

    Biyanto, Totok R.

    2016-06-01

    Fouling in a heat exchanger in Crude Preheat Train (CPT) refinery is an unsolved problem that reduces the plant efficiency, increases fuel consumption and CO2 emission. The fouling resistance behavior is very complex. It is difficult to develop a model using first principle equation to predict the fouling resistance due to different operating conditions and different crude blends. In this paper, Artificial Neural Networks (ANN) MultiLayer Perceptron (MLP) with input structure using Nonlinear Auto-Regressive with eXogenous (NARX) is utilized to build the fouling resistance model in shell and tube heat exchanger (STHX). The input data of the model are flow rates and temperatures of the streams of the heat exchanger, physical properties of product and crude blend data. This model serves as a predicting tool to optimize operating conditions and preventive maintenance of STHX. The results show that the model can capture the complexity of fouling characteristics in heat exchanger due to thermodynamic conditions and variations in crude oil properties (blends). It was found that the Root Mean Square Error (RMSE) are suitable to capture the nonlinearity and complexity of the STHX fouling resistance during phases of training and validation.

  16. Generalization of Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper introduces a generalization of Brownian motion with continuous sample paths and stationary, autoregressive increments. This process, which we call a Brownian ray with drift, is characterized by three parameters quantifying distinct effects of drift, volatility, and autoregressiveness. A Brownian ray with drift, conditioned on its state at the beginning of an interval, is another Brownian ray with drift over the interval, and its expected path over the interval is a ray with a slope that depends on the conditioned state. This paper shows how Brownian rays can be applied in finance for the analysis of queues or inventories and the valuation of options. We model a queue's net input process as a superposition of Brownian rays with drift and derive the transient distribution of the queue length conditional on past queue lengths and on past states of the individual Brownian rays comprising the superposition. The transient distributions of Regulated Brownian Motion and of the Regulated Brownian Bridge are...

  17. Exploring the Specifications of Spatial Adjacencies and Weights in Bayesian Spatial Modeling with Intrinsic Conditional Autoregressive Priors in a Small-area Study of Fall Injuries

    Directory of Open Access Journals (Sweden)

    Jane Law

    2016-03-01

    Full Text Available Intrinsic conditional autoregressive modeling in a Bayeisan hierarchical framework has been increasingly applied in small-area ecological studies. This study explores the specifications of spatial structure in this Bayesian framework in two aspects: adjacency, i.e., the set of neighbor(s for each area; and (spatial weight for each pair of neighbors. Our analysis was based on a small-area study of falling injuries among people age 65 and older in Ontario, Canada, that was aimed to estimate risks and identify risk factors of such falls. In the case study, we observed incorrect adjacencies information caused by deficiencies in the digital map itself. Further, when equal weights was replaced by weights based on a variable of expected count, the range of estimated risks increased, the number of areas with probability of estimated risk greater than one at different probability thresholds increased, and model fit improved. More importantly, significance of a risk factor diminished. Further research to thoroughly investigate different methods of variable weights; quantify the influence of specifications of spatial weights; and develop strategies for better defining spatial structure of a map in small-area analysis in Bayesian hierarchical spatial modeling is recommended.

  18. Exploring the relationship between urbanization and energy consumption in China using ARDL (autoregressive distributed lag) and FDM (factor decomposition model)

    International Nuclear Information System (INIS)

    The paper develops a function of energy consumption, population growth, economic growth and urbanization process, and provides fresh empirical evidences for urbanization and energy consumption for China over the period 1978-2008 through the use of ARDL testing approach and factor decomposition model. The results of the bounds test show that there is a stable long run relationship amongst total energy consumption, population, GDP (Gross domestic product) and urbanization level when total energy consumption is the dependent variable in China. The results of the causality test with ECM (error correction model) specification, the short run and long run dynamics of the interested variables are tested, indicating that there exists only a unidirectional Granger causality running from urbanization to total energy consumption both in the long run and in the short run. At present, the contribution share which urbanization drags the energy consumption is smaller than that in the past, and the intensity holds a downward trend. Therefore, together with enhancing energy efficiency, accelerating the urbanization process that can cut reliance on resource and energy dependent industries is a fundamental strategy to solve the sustainable development dilemma between energy consumption and urbanization.

  19. 自回归分布滞后模型在数控机床热误差建模中的应用%Application of Autoregressive Distributed Lag Model to Thermal Error Compensation of Machine Tools

    Institute of Scientific and Technical Information of China (English)

    苗恩铭; 龚亚运; 牛鹏程; 费业泰

    2013-01-01

    对多元线性回归模型、回归与残差AR叠合模型和自回归分布滞后模型3种热误差建模方法进行了介绍与比对分析.多元线性回归模型方法简单快捷,但因热误差呈非线性且具有互交作用,较难获得精确热误差数学模型.后两个模型均属时间序列分析方法,其优点是能够比较精确地建立热误差数学模型,两者的区别是叠合模型把参数估计分成两部分,而自回归分布滞后模型是统一估计参数,因此叠合模型的精度要低于自回归分布滞后模型精度,并通过实例验证,自回归分布滞后模型在精密数控机床热误差建模中具有较好的建模精度.%Three modeling methods are introduced and analyzed,including multiple linear regression model,congruence model which combine multiple linear regression model with AR model of its residual error and autoregressive distributed lag model.Multiple linear regression analysis is a simple and quick modeling method,but thermal error is nonlinear and interactive,and it is difficult to model a precise least squares model of thermal error.The congruence model and autoregressive distributed lag model belong to time series analysis method which has the advanced that the precise mathematical model can be established.The distinctions of the two models are that:the congruence model divided the parameter into two parts to estimate respectively,but autoregressive distributed lag model estimate parameter uniformly,so the accuracy of congruence model is lower than that of the autoregressive distributed lag model,and this conclusion is proved by the actual example that the autoregressive distributed lag model used to calculate the thermal error of precision CNC machine tools is a good way to improve modeling accuracy.

  20. Autoregressive-model-based fluorescence-lifetime measurements by phase-modulation fluorometry using a pulsed-excitation light source and a high-gain photomultiplier tube.

    Science.gov (United States)

    Iwata, Tetsuo; Ito, Ritsuki; Mizutani, Yasuhiro; Araki, Tsutomu

    2009-11-01

    We propose a novel method for measuring fluorescence lifetimes by use of a pulsed-excitation light source and an ordinary or a high-gain photomultiplier tube (PMT) with a high-load resistor. In order to obtain the values of fluorescence lifetimes, we adopt a normal data-processing procedure used in phase-modulation fluorometry. We apply an autoregressive (AR)-model-based data-analysis technique to fluorescence- and reference-response time-series data obtained from the PMT in order to derive plural values of phase differences at a repetition frequency of the pulsed-excitation light source and its harmonic ones. The connection of the high-load resistor enhances sensitivity in signal detection in a certain condition. Introduction of the AR-model-based data-analysis technique improves precision in estimating the values of fluorescence lifetimes. Depending on the value of the load resistor and that of the repetition frequency, plural values of fluorescence lifetimes are obtained at one time by utilizing the phase information of harmonic frequencies. Because the proposed measurement system is simple to construct, it might be effective when we need to know approximate values of fluorescence lifetimes readily, such as in the field of biochemistry for a screening purpose. PMID:19891834

  1. Market Efficiency, Role of Earnings Information, and Stock Returns: A Vector Autoregressive Model Approach

    OpenAIRE

    Keiichi Kubota; Hitoshi Takehara

    2011-01-01

    This paper investigates how the information content contained in components of earnings is impounded into stock prices and provides new evidence on market efficiency for firms listed on the Tokyo Stock Exchange First and Second Sections. First, we conduct a conventional pooled Mishkin test to examine whether stocks are rationally priced or not, and claim how this particular test can result in misleading observations if we erroneously pool the data for the overall sample period by completely d...

  2. 睡眠脑电的自回归模型阶数特性%Autoregressive Model Order Property for Sleep EEG

    Institute of Scientific and Technical Information of China (English)

    王涛; 王国辉; 冯焕清

    2004-01-01

    传统睡眠脑电(Sleep EEG)研究从信号的时域和频域的特征分析睡眠过程,通常根据功率谱观察信号中特定节律的出现和频带的分布.而功率谱估计中基于参数模型的方法得到广泛应用,但建模时通常只能根据经验选择一个固定较低的阶数.本文讨论了自回归模型阶数(Autoregressive model order,ARMO)估计准则的一些最新进展,并且统计了一段睡眠过程中EEG的阶数分布.结果显示EEG的ARMO分布集中在差别很大的几个区间,可以用来表示睡眠EEG分期内微结构和过渡过程,并在一定程度上提供EEG的特征和组成成分的信息.

  3. Directed coupling in local field potentials of macaque V4 during visual short-term memory revealed by multivariate autoregressive models

    Directory of Open Access Journals (Sweden)

    Gregor M Hoerzer

    2010-05-01

    Full Text Available Processing and storage of sensory information is based on the interaction between different neural populations rather than the isolated activity of single neurons. In order to characterize the dynamic interaction and transient cooperation of sub-circuits within a neural network, multivariate autoregressive (MVAR models have proven to be an important analysis tool. In this study, we apply directed functional coupling based on MVAR models and describe the temporal and spatial changes of functional coupling between simultaneously recorded local field potentials (LFP in extrastriate area V4 during visual memory. Specifically, we compare the strength and directional relations of coupling based on Generalized Partial Directed Coherence (GDPC measures while two rhesus monkeys perform a visual short-term memory task. In both monkeys we find increases in theta power during the memory period that are accompanied by changes in directed coupling. These interactions are most prominent in the low frequency range encompassing the theta band (3-12~Hz and, more importantly, are asymmetric between pairs of recording sites. Furthermore, we find that the degree of interaction decreases as a function of distance between electrode positions, suggesting that these interactions are a predominantly local phenomenon. Taken together, our results show that directed coupling measures based on MVAR models are able to provide important insights into the spatial and temporal formation of local functionally coupled ensembles during visual memory in V4. Moreover, our findings suggest that visual memory is accompanied not only by a temporary increase of oscillatory activity in the theta band, but by a direction-dependent change in theta coupling, which ultimately represents a change in functional connectivity within the neural circuit.

  4. Directed coupling in local field potentials of macaque v4 during visual short-term memory revealed by multivariate autoregressive models.

    Science.gov (United States)

    Hoerzer, Gregor M; Liebe, Stefanie; Schloegl, Alois; Logothetis, Nikos K; Rainer, Gregor

    2010-01-01

    Processing and storage of sensory information is based on the interaction between different neural populations rather than the isolated activity of single neurons. In order to characterize the dynamic interaction and transient cooperation of sub-circuits within a neural network, multivariate autoregressive (MVAR) models have proven to be an important analysis tool. In this study, we apply directed functional coupling based on MVAR models and describe the temporal and spatial changes of functional coupling between simultaneously recorded local field potentials in extrastriate area V4 during visual memory. Specifically, we compare the strength and directional relations of coupling based on generalized partial directed coherence (GPDC) measures while two rhesus monkeys perform a visual short-term memory task. In both monkeys we find increases in theta power during the memory period that are accompanied by changes in directed coupling. These interactions are most prominent in the low frequency range encompassing the theta band (3-12 Hz) and, more importantly, are asymmetric between pairs of recording sites. Furthermore, we find that the degree of interaction decreases as a function of distance between electrode positions, suggesting that these interactions are a predominantly local phenomenon. Taken together, our results show that directed coupling measures based on MVAR models are able to provide important insights into the spatial and temporal formation of local functionally coupled ensembles during visual memory in V4. Moreover, our findings suggest that visual memory is accompanied not only by a temporary increase of oscillatory activity in the theta band, but by a direction-dependent change in theta coupling, which ultimately represents a change in functional connectivity within the neural circuit. PMID:20577632

  5. Bias in Cross-Sectional Analyses of Longitudinal Mediation: Partial and Complete Mediation under an Autoregressive Model

    Science.gov (United States)

    Maxwell, Scott E.; Cole, David A.; Mitchell, Melissa A.

    2011-01-01

    Maxwell and Cole (2007) showed that cross-sectional approaches to mediation typically generate substantially biased estimates of longitudinal parameters in the special case of complete mediation. However, their results did not apply to the more typical case of partial mediation. We extend their previous work by showing that substantial bias can…

  6. Using autoregressive integrated moving average (ARIMA models to predict and monitor the number of beds occupied during a SARS outbreak in a tertiary hospital in Singapore

    Directory of Open Access Journals (Sweden)

    Earnest Arul

    2005-05-01

    Full Text Available Abstract Background The main objective of this study is to apply autoregressive integrated moving average (ARIMA models to make real-time predictions on the number of beds occupied in Tan Tock Seng Hospital, during the recent SARS outbreak. Methods This is a retrospective study design. Hospital admission and occupancy data for isolation beds was collected from Tan Tock Seng hospital for the period 14th March 2003 to 31st May 2003. The main outcome measure was daily number of isolation beds occupied by SARS patients. Among the covariates considered were daily number of people screened, daily number of people admitted (including observation, suspect and probable cases and days from the most recent significant event discovery. We utilized the following strategy for the analysis. Firstly, we split the outbreak data into two. Data from 14th March to 21st April 2003 was used for model development. We used structural ARIMA models in an attempt to model the number of beds occupied. Estimation is via the maximum likelihood method using the Kalman filter. For the ARIMA model parameters, we considered the simplest parsimonious lowest order model. Results We found that the ARIMA (1,0,3 model was able to describe and predict the number of beds occupied during the SARS outbreak well. The mean absolute percentage error (MAPE for the training set and validation set were 5.7% and 8.6% respectively, which we found was reasonable for use in the hospital setting. Furthermore, the model also provided three-day forecasts of the number of beds required. Total number of admissions and probable cases admitted on the previous day were also found to be independent prognostic factors of bed occupancy. Conclusion ARIMA models provide useful tools for administrators and clinicians in planning for real-time bed capacity during an outbreak of an infectious disease such as SARS. The model could well be used in planning for bed-capacity during outbreaks of other infectious

  7. The Prediction of Exchange Rates with the Use of Auto-Regressive Integrated Moving-Average Models

    Directory of Open Access Journals (Sweden)

    Daniela Spiesová

    2014-10-01

    Full Text Available Currency market is recently the largest world market during the existence of which there have been many theories regarding the prediction of the development of exchange rates based on macroeconomic, microeconomic, statistic and other models. The aim of this paper is to identify the adequate model for the prediction of non-stationary time series of exchange rates and then use this model to predict the trend of the development of European currencies against Euro. The uniqueness of this paper is in the fact that there are many expert studies dealing with the prediction of the currency pairs rates of the American dollar with other currency but there is only a limited number of scientific studies concerned with the long-term prediction of European currencies with the help of the integrated ARMA models even though the development of exchange rates has a crucial impact on all levels of economy and its prediction is an important indicator for individual countries, banks, companies and businessmen as well as for investors. The results of this study confirm that to predict the conditional variance and then to estimate the future values of exchange rates, it is adequate to use the ARIMA (1,1,1 model without constant, or ARIMA [(1,7,1,(1,7] model, where in the long-term, the square root of the conditional variance inclines towards stable value.

  8. Study of Feature Extraction Based on Autoregressive Modeling in ECG Automatic Diagnosis%ECG信号自动诊断中回归建模法特征提取的研究

    Institute of Scientific and Technical Information of China (English)

    葛丁飞; 侯北平; 项新建

    2007-01-01

    This article explores the ability of multivariate autoregressive model (MAR) and scalar AR model to extract the features from two-lead electrocardiogram signals in order to classify certain cardiac arrhythmias. The classification performance of four different ECG feature sets based on the model coefficients are shown. The data in the analysis including normal sinus rhythm,atria premature contraction, premature ventricular contraction, ventricular tachycardia, ventricular fibrillation and superventricular tachycardia is obtained from the MIT-BIH database. The classification is performed using a quadratic discriminant function. The results show the MAR coefficients produce the best results among the four ECG representations and the MAR modeling is a useful classification and diagnosis tool.

  9. AUTOREGRESSIVE MODEL AND POWER SPECTRUM CHARATERISTICS OF CURRENT SIGNAL IN HIGH FREQUENCY GROUP PULSE MICRO ELECTROCHEMICAL MACHINING

    Institute of Scientific and Technical Information of China (English)

    TANG Xinglun; ZHANG Zhijing; ZHOU Zhaoying; YANG Xiaodong

    2006-01-01

    The identification of the inter-electrode gap size in the high frequency group pulse micro-electrochemical machining (HGPECM) is mainly discussed. The auto-regressive(AR) model of group pulse current flowing across the cathode and the anode are created under different situations with different processing parameters and inter-electrode gap size. The AR model based on the current signals indicates that the order of the AR model is obviously different relating to the different processing conditions and the inter-electrode gap size; Moreover, it is different about the stability of the dynamic system, i.e. the white noise response of the Green's function of the dynamic system is diverse. In addition, power spectrum method is used in the analysis of the dynamic time series about the current signals with different inter-electrode gap size, the results show that there exists a strongest power spectrum peak, characteristic power spectrum(CPS), to the current signals related to the different inter-electrode gap size in the range of 0~5 kHz. Therefore, the CPS of current signals can implement the identification of the inter-electrode gap.

  10. Seasonal smooth transition autoregression

    OpenAIRE

    Franses, Philip Hans; Bruin, Paul; Dijk, Dick van

    2000-01-01

    textabstractIn this paper we put forward a new time series model, which describes nonlinearity and seasonality simultaneously. We discuss its representation, estimation of the parameters and inference. This seasonal STAR (SEASTAR) model is examined for its practical usefulness by applying it to 18 quarterly industrial production series. The data are tested for smooth-transition nonlinearity and for time-varying seasonality. We find that the model fits the data well for 14 of the 18 series. We...

  11. Multivariate elliptically contoured autoregressive process

    OpenAIRE

    Taras Bodnar; Arjun K. Gupta

    2014-01-01

    In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-dia...

  12. Forecasting wind power - Modeling periodic and non-linear effects under conditional heteroscedasticity

    OpenAIRE

    Ziel, Florian; Croonenbroeck, Carsten; Ambach, Daniel

    2016-01-01

    In this article we present an approach that enables joint wind speed and wind power forecasts for a wind park. We combine a multivariate seasonal time varying threshold autoregressive moving average (TVARMA) model with a power threshold generalized autoregressive conditional heteroscedastic (power-TGARCH) model. The modeling framework incorporates diurnal and annual periodicity modeling by periodic B-splines, conditional heteroscedasticity and a complex autoregressive structure with non-linea...

  13. Short-term Indicator Models for Quarterly GDP Growth in the BRIICS: A Small-scale Bridge Model Approach

    OpenAIRE

    Thomas Chalaux; Cyrille Schwellnus

    2014-01-01

    This paper extends the OECD Economics Department’s suite of short-term indicator models for quarterly GDP growth, which currently cover only the G7 countries, to the BRIICS countries. Reflecting the relative scarcity of high-quality macroeconomic time series, the paper adopts a small-scale bridge model approach. The results suggest that in terms of short-term forecast accuracy for the first and second quarter following the most recent GDP release these models outperform simple autoregressive ...

  14. Kepler AutoRegressive Planet Search: Motivation & Methodology

    Science.gov (United States)

    Caceres, Gabriel; Feigelson, Eric; Jogesh Babu, G.; Bahamonde, Natalia; Bertin, Karine; Christen, Alejandra; Curé, Michel; Meza, Cristian

    2015-08-01

    The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Auto-Regressive Moving-Average (ARMA) models, Generalized Auto-Regressive Conditional Heteroskedasticity (GARCH), and related models are flexible, phenomenological methods used with great success to model stochastic temporal behaviors in many fields of study, particularly econometrics. Powerful statistical methods are implemented in the public statistical software environment R and its many packages. Modeling involves maximum likelihood fitting, model selection, and residual analysis. These techniques provide a useful framework to model stellar variability and are used in KARPS with the objective of reducing stellar noise to enhance opportunities to find as-yet-undiscovered planets. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; ARMA-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. We apply the procedures to simulated Kepler-like time series with known stellar and planetary signals to evaluate the effectiveness of the KARPS procedures. The ARMA-type modeling is effective at reducing stellar noise, but also reduces and transforms the transit signal into ingress/egress spikes. A periodogram based on the TCF is constructed to concentrate the signal

  15. Multivariate elliptically contoured autoregressive process

    Directory of Open Access Journals (Sweden)

    Taras Bodnar

    2014-05-01

    Full Text Available In this paper, we introduce a new class of elliptically contoured processes. The suggested process possesses both the generality of the conditional heteroscedastic autoregressive process and the elliptical symmetry of the elliptically contoured distributions. In the empirical study we find the link between the conditional time varying behavior of the covariance matrix of the returns and the time variability of the investor’s coefficient of risk aversion. Moreover, it is shown that the non-diagonal elements of the dispersion matrix are slowly varying in time.

  16. Kepler AutoRegressive Planet Search

    Science.gov (United States)

    Caceres, Gabriel Antonio; Feigelson, Eric

    2016-01-01

    The Kepler AutoRegressive Planet Search (KARPS) project uses statistical methodology associated with autoregressive (AR) processes to model Kepler lightcurves in order to improve exoplanet transit detection in systems with high stellar variability. We also introduce a planet-search algorithm to detect transits in time-series residuals after application of the AR models. One of the main obstacles in detecting faint planetary transits is the intrinsic stellar variability of the host star. The variability displayed by many stars may have autoregressive properties, wherein later flux values are correlated with previous ones in some manner. Our analysis procedure consisting of three steps: pre-processing of the data to remove discontinuities, gaps and outliers; AR-type model selection and fitting; and transit signal search of the residuals using a new Transit Comb Filter (TCF) that replaces traditional box-finding algorithms. The analysis procedures of the project are applied to a portion of the publicly available Kepler light curve data for the full 4-year mission duration. Tests of the methods have been made on a subset of Kepler Objects of Interest (KOI) systems, classified both as planetary `candidates' and `false positives' by the Kepler Team, as well as a random sample of unclassified systems. We find that the ARMA-type modeling successfully reduces the stellar variability, by a factor of 10 or more in active stars and by smaller factors in more quiescent stars. A typical quiescent Kepler star has an interquartile range (IQR) of ~10 e-/sec, which may improve slightly after modeling, while those with IQR ranging from 20 to 50 e-/sec, have improvements from 20% up to 70%. High activity stars (IQR exceeding 100) markedly improve. A periodogram based on the TCF is constructed to concentrate the signal of these periodic spikes. When a periodic transit is found, the model is displayed on a standard period-folded averaged light curve. Our findings to date on real

  17. Spatial analysis of the dairy yield using a conditional autoregressive model / Análise espacial da produção leiteira usando um modelo autoregressivo condicional

    Directory of Open Access Journals (Sweden)

    João Domingos Scalon

    2010-07-01

    Full Text Available The dairy yield is one of the most important activities for the Brazilian economy and the use of statistical models may improve the decision making in this productive sector. The aim of this paper was to compare the performance of both the traditional linear regression model and the spatial regression model called conditional autoregressive (CAR to explain how some covariates may contribute for the dairy yield. This work used a database on dairy yield supplied by the Brazilian Institute of Geography and Statistics (IBGE and another database on geographical information of the state of Minas Gerais provided by the Integrated Program of Technological Use of Geographical Information (GEOMINAS. The results showed the superiority of the CAR model over the traditional linear regression model to explain the dairy yield. The CAR model allowed the identification of two different spatial clusters of counties related to the dairy yield in the state of Minas Gerais. The first cluster represents the region where one observes the biggest levels of dairy yield. It is formed by the counties of the Triângulo Mineiro. The second cluster is formed by the northern counties of the state that present the lesser levels of dairy yield. A produção de leite é uma das atividades mais importantes para a economia brasileira e o uso de modelos estatísticos pode auxiliar a tomada de decisão neste setor produtivo. O objetivo deste artigo foi comparar o desempenho do modelo de regressão linear tradicional e do modelo de regressão espacial, denominado de autoregressivo condicional (CAR, para explicar como algumas variáveis preditoras contribuem para a quantidade de leite produzido. Este trabalho usou uma base de dados sobre a produção de leite fornecida pelo Instituto Brasileiro de Geografia e Estatística (IBGE e outra base de dados sobre informações geográficas do estado de Minas Gerais, fornecida pelo Programa Integrado de Uso da Tecnologia de Geoprocessamento

  18. Autoregressive Time Series Forecasting of Computational Demand

    CERN Document Server

    Sandholm, Thomas

    2007-01-01

    We study the predictive power of autoregressive moving average models when forecasting demand in two shared computational networks, PlanetLab and Tycoon. Demand in these networks is very volatile, and predictive techniques to plan usage in advance can improve the performance obtained drastically. Our key finding is that a random walk predictor performs best for one-step-ahead forecasts, whereas ARIMA(1,1,0) and adaptive exponential smoothing models perform better for two and three-step-ahead forecasts. A Monte Carlo bootstrap test is proposed to evaluate the continuous prediction performance of different models with arbitrary confidence and statistical significance levels. Although the prediction results differ between the Tycoon and PlanetLab networks, we observe very similar overall statistical properties, such as volatility dynamics.

  19. Weak Convergence of the Residual Empirical Process in Explosive Autoregression

    OpenAIRE

    Koul, Hira L.; Levental, Shlomo

    1989-01-01

    This paper proves the weak convergence of the residual empirical process in an explosive autoregression model to the Brownian bridge. As an application the Kolmogorov-Smirnov goodness-of-fit test for testing that the errors have a specified distribution is shown to be asymptotically distribution-free.

  20. A MODEL FOR THE PALM OIL MARKET IN NIGERIA: AN ECONOMETRICS APPROACH

    OpenAIRE

    Henry Egwuma; Mad Nasir Shamsudin; Zainalabidin Mohamed; Nitty Hirawaty Kamarulzaman; Kelly Kai Seng Wong

    2016-01-01

    The aim of this study is to formulate and estimate a model for the palm oil market in Nigeria with a view to identifying principal factors that shape the Nigerian palm oil industry. Four structural equation models comprising palm oil production, import demand, domestic demand and producer price have been estimated using the autoregressive distributed lag (ARDL) cointegration approach over the 1970 to 2011 period. The results reveal that significant factors that influence the Ni...

  1. Characteristics of the transmission of autoregressive sub-patterns in financial time series

    Science.gov (United States)

    Gao, Xiangyun; An, Haizhong; Fang, Wei; Huang, Xuan; Li, Huajiao; Zhong, Weiqiong

    2014-09-01

    There are many types of autoregressive patterns in financial time series, and they form a transmission process. Here, we define autoregressive patterns quantitatively through an econometrical regression model. We present a computational algorithm that sets the autoregressive patterns as nodes and transmissions between patterns as edges, and then converts the transmission process of autoregressive patterns in a time series into a network. We utilised daily Shanghai (securities) composite index time series to study the transmission characteristics of autoregressive patterns. We found statistically significant evidence that the financial market is not random and that there are similar characteristics between parts and whole time series. A few types of autoregressive sub-patterns and transmission patterns drive the oscillations of the financial market. A clustering effect on fluctuations appears in the transmission process, and certain non-major autoregressive sub-patterns have high media capabilities in the financial time series. Different stock indexes exhibit similar characteristics in the transmission of fluctuation information. This work not only proposes a distinctive perspective for analysing financial time series but also provides important information for investors.

  2. Confidence Intervals for Autoregressive Coefficients Near One

    OpenAIRE

    Elliott, Graham; Stock, James H.

    2000-01-01

    Often we are interested in the largest root of an autoregressive process. Available methods rely on inverting t-tests to obtain confidence intervals. However, for large autoregressive roots, t-tests do not approximate asymptotically uniformly most powerful tests and do not have optimality properties when inverted for confidence intervals. We exploit the relationship between the power of tests and accuracy of confidence intervals, and suggest methods which are asymptotically more accurate than...

  3. Prediction of municipal solid waste generation using nonlinear autoregressive network.

    Science.gov (United States)

    Younes, Mohammad K; Nopiah, Z M; Basri, N E Ahmad; Basri, H; Abushammala, Mohammed F M; Maulud, K N A

    2015-12-01

    Most of the developing countries have solid waste management problems. Solid waste strategic planning requires accurate prediction of the quality and quantity of the generated waste. In developing countries, such as Malaysia, the solid waste generation rate is increasing rapidly, due to population growth and new consumption trends that characterize society. This paper proposes an artificial neural network (ANN) approach using feedforward nonlinear autoregressive network with exogenous inputs (NARX) to predict annual solid waste generation in relation to demographic and economic variables like population number, gross domestic product, electricity demand per capita and employment and unemployment numbers. In addition, variable selection procedures are also developed to select a significant explanatory variable. The model evaluation was performed using coefficient of determination (R(2)) and mean square error (MSE). The optimum model that produced the lowest testing MSE (2.46) and the highest R(2) (0.97) had three inputs (gross domestic product, population and employment), eight neurons and one lag in the hidden layer, and used Fletcher-Powell's conjugate gradient as the training algorithm. PMID:26573690

  4. Structural vector autoregressions: Theory of identification and algorithms for inference

    OpenAIRE

    Rubio-Ramírez, Juan F.; Waggoner, Daniel F.; Zha, Tao

    2008-01-01

    Structural vector autoregressions (SVARs) are widely used for policy analysis and to provide stylized facts for dynamic general equilibrium models. Yet there have been no workable rank conditions to ascertain whether an SVAR is globally identified. When identifying restrictions such as long-run restrictions are imposed on impulse responses, there have been no efficient algorithms for small-sample estimation and inference. To fill these important gaps in the literature, this paper makes four c...

  5. A Simple Cointegrating Rank Test Without Vector Autoregression

    OpenAIRE

    Mototsugu Shintani

    2000-01-01

    This paper proposes a fully nonparametric test for cointegrating rank which does not require estimation of a vector autoregressive model. The test exploits the fact that the degeneracy in the moment matrix of the variables with mixed integration order corresponds to the notion of cointegration. With an appropriate standardization, the test statistics are shown to have a nuisance parameter free limiting distribution and to be consistent under reasonable conditions. Monte Carlo experiments also...

  6. A model-based approach to human identification using ECG

    Science.gov (United States)

    Homer, Mark; Irvine, John M.; Wendelken, Suzanne

    2009-05-01

    Biometrics, such as fingerprint, iris scan, and face recognition, offer methods for identifying individuals based on a unique physiological measurement. Recent studies indicate that a person's electrocardiogram (ECG) may also provide a unique biometric signature. Current techniques for identification using ECG rely on empirical methods for extracting features from the ECG signal. This paper presents an alternative approach based on a time-domain model of the ECG trace. Because Auto-Regressive Integrated Moving Average (ARIMA) models form a rich class of descriptors for representing the structure of periodic time series data, they are well-suited to characterizing the ECG signal. We present a method for modeling the ECG, extracting features from the model representation, and identifying individuals using these features.

  7. Detecting The Expected Rate of Return Volatility of Financing Instruments of Indonesian Islamic Banking through GARCH Modeling (Generalized Autoregressive Conditional Heteroscedasticity

    Directory of Open Access Journals (Sweden)

    Nurul Huda

    2015-04-01

    Full Text Available Objective - Islamic banks are banks which its activities, both fund raising and funds distribution are on the basis of Islamic principles, namely buying and selling and profit sharing. Islamic banking is aimed at supporting the implementation of national development in order to improve justice, togetherness, and equitable distribution of welfare. In pursuit of supporting the implementation of national development, Islamic banking often faced stability problems of financing instruments being operated. In this case, it is measured by the gap between the actual rate of return and the expected rate of return. The individual actual RoR of this instrument will generate an expected rate of return. This raises the gap or difference between the actual rate of return and the expected rate of return of individual instruments, which in this case is called the abnormal rate of return. The stability of abnormal rate of return of individual instruments is certainly influenced by the stability of the expected rate of return. Expected rate of return has a volatility or fluctuation levels for each financing instrument. It is also a key element or material basis for the establishment of a variance of individual instruments. Variance in this case indicates the level of uncertainty of the rate of return. Individual variance is the origin of the instrument base for variance in the portfolio finance that further a portfolio analysis. So, this paper is going to analyze the level of expected RoR volatility as an initial step to see and predict the stability of the fluctuations in the rate of return of Indonesian Islamic financing instruments.Methods – Probability of Occurence, Expected Rate of Return (RoR and GARCH (Generalized Autoregressive Conditional Heteroscedasticity.Results - The expected RoR volatility of the murabaha and istishna financing instruments tend to be more volatile than expected RoR volatility of musharaka and qardh financing instruments

  8. The Integration Order of Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We show that the order of integration of a vector autoregressive process is equal to the difference between the multiplicity of the unit root in the characteristic equation and the multiplicity of the unit root in the adjoint matrix polynomial. The equivalence with the standard I(1) and I(2...

  9. A Note on the Properties of Generalised Separable Spatial Autoregressive Process

    Directory of Open Access Journals (Sweden)

    Mahendran Shitan

    2009-01-01

    Full Text Available Spatial modelling has its applications in many fields like geology, agriculture, meteorology, geography, and so forth. In time series a class of models known as Generalised Autoregressive (GAR has been introduced by Peiris (2003 that includes an index parameter δ. It has been shown that the inclusion of this additional parameter aids in modelling and forecasting many real data sets. This paper studies the properties of a new class of spatial autoregressive process of order 1 with an index. We will call this a Generalised Separable Spatial Autoregressive (GENSSAR Model. The spectral density function (SDF, the autocovariance function (ACVF, and the autocorrelation function (ACF are derived. The theoretical ACF and SDF plots are presented as three-dimensional figures.

  10. AN EXPONENTIAL INEQUALITY FOR AUTOREGRESSIVE PROCESSES IN ADAPTIVE TRACKING

    Institute of Scientific and Technical Information of China (English)

    Bernard BERCU

    2007-01-01

    A wide range of literature concerning classical asymptotic properties for linear models with adaptive control is available, such as strong laws of large numbers or central limit theorems.Unfortunately, in contrast with the situation without control, it appears to be impossible to find sharp asymptotic or nonasymptotic properties such as large deviation principles or exponential inequalities.Our purpose is to provide a first step towards that direction by proving a very simple exponential inequality for the standard least squares estimator of the unknown parameter of Gaussian autoregressive process in adaptive tracking.

  11. Temporal aggregation in first order cointegrated vector autoregressive

    DEFF Research Database (Denmark)

    La Cour, Lisbeth Funding; Milhøj, Anders

    2006-01-01

    We study aggregation - or sample frequencies - of time series, e.g. aggregation from weekly to monthly or quarterly time series. Aggregation usually gives shorter time series but spurious phenomena, in e.g. daily observations, can on the other hand be avoided. An important issue is the effect of ...... aggregation on the adjustment coefficient in cointegrated systems. We study only first order vector autoregressive processes for n dimensional time series Xt, and we illustrate the theory by a two dimensional and a four dimensional model for prices of various grades of gasoline....

  12. Order 1 autoregressive process of finite length

    CERN Document Server

    Vamos, Calin; Craciun, Maria

    2007-01-01

    The stochastic processes of finite length defined by recurrence relations request additional relations specifying the first terms of the process analogously to the initial conditions for the differential equations. As a general rule, in time series theory one analyzes only stochastic processes of infinite length which need no such initial conditions and their properties are less difficult to be determined. In this paper we compare the properties of the order 1 autoregressive processes of finite and infinite length and we prove that the time series length has an important influence mainly if the serial correlation is significant. These different properties can manifest themselves as transient effects produced when a time series is numerically generated. We show that for an order 1 autoregressive process the transient behavior can be avoided if the first term is a Gaussian random variable with standard deviation equal to that of the theoretical infinite process and not to that of the white noise innovation.

  13. Some correlation properties of spatial autoregressions

    OpenAIRE

    Martellosio, Federico

    2009-01-01

    This paper investigates how the correlations implied by a first-order simultaneous autoregressive (SAR(1)) process are affected by the weights matrix and the autocorrelation parameter. An interpretation of the covariance structure of the process is provided, based on the walks connecting the spatial units. The interpretation serves to explain a number of correlation properties of SAR(1) processes, and clarifies why in practical applications it is difficult, or even impossible, to use SAR(1) p...

  14. Comparison of hidden and observed regime-switching autoregressive models for (u,v)-components of wind fields in the Northeast Atlantic

    OpenAIRE

    Bessac, Julie,; Ailliot, Pierre; Cattiaux, Julien; Monbet, Valérie

    2016-01-01

    Several multisite stochastic generators of zonal and meridional components of wind are proposed in this paper. A regime-switching framework is introduced to account for the alternation of intensity and variability that is observed on wind conditions due to the existence of different weather types. This modeling blocks time series into periods in which the series is described by a single model. The regime-switching is modeled by a discrete variable that can be introduced as a latent (or 5 hidd...

  15. HEDR modeling approach

    International Nuclear Information System (INIS)

    This report details the conceptual approaches to be used in calculating radiation doses to individuals throughout the various periods of operations at the Hanford Site. The report considers the major environmental transport pathways--atmospheric, surface water, and ground water--and projects and appropriate modeling technique for each. The modeling sequence chosen for each pathway depends on the available data on doses, the degree of confidence justified by such existing data, and the level of sophistication deemed appropriate for the particular pathway and time period being considered

  16. Series Arc Fault Detection Algorithm Based on Autoregressive Bispectrum Analysis

    Directory of Open Access Journals (Sweden)

    Kai Yang

    2015-10-01

    Full Text Available Arc fault is one of the most critical reasons for electrical fires. Due to the diversity, randomness and concealment of arc faults in low-voltage circuits, it is difficult for general methods to protect all loads from series arc faults. From the analysis of many series arc faults, a large number of high frequency signals generated in circuits are found. These signals are easily affected by Gaussian noise which is difficult to be eliminated as a result of frequency aliasing. Thus, a novel detection algorithm is developed to accurately detect series arc faults in this paper. Initially, an autoregressive model of the mixed high frequency signals is modelled. Then, autoregressive bispectrum analysis is introduced to analyze common series arc fault features. The phase information of arc fault signal is preserved using this method. The influence of Gaussian noise is restrained effectively. Afterwards, several features including characteristic frequency, fluctuation of phase angles, diffused distribution and incremental numbers of bispectrum peaks are extracted for recognizing arc faults. Finally, least squares support vector machine is used to accurately identify series arc faults from the load states based on these frequency features of bispectrum. The validity of the algorithm is experimentally verified obtaining arc fault detection rate above 97%.

  17. Hybrid wavelet-support vector machine approach for modelling rainfall-runoff process.

    Science.gov (United States)

    Komasi, Mehdi; Sharghi, Soroush

    2016-01-01

    Because of the importance of water resources management, the need for accurate modeling of the rainfall-runoff process has rapidly grown in the past decades. Recently, the support vector machine (SVM) approach has been used by hydrologists for rainfall-runoff modeling and the other fields of hydrology. Similar to the other artificial intelligence models, such as artificial neural network (ANN) and adaptive neural fuzzy inference system, the SVM model is based on the autoregressive properties. In this paper, the wavelet analysis was linked to the SVM model concept for modeling the rainfall-runoff process of Aghchai and Eel River watersheds. In this way, the main time series of two variables, rainfall and runoff, were decomposed to multiple frequent time series by wavelet theory; then, these time series were imposed as input data on the SVM model in order to predict the runoff discharge one day ahead. The obtained results show that the wavelet SVM model can predict both short- and long-term runoff discharges by considering the seasonality effects. Also, the proposed hybrid model is relatively more appropriate than classical autoregressive ones such as ANN and SVM because it uses the multi-scale time series of rainfall and runoff data in the modeling process. PMID:27120649

  18. Global Hemispheric Temperature Trends and Co–Shifting: A Shifting Mean Vector Autoregressive Analysis

    DEFF Research Database (Denmark)

    Holt, Matthew T.; Teräsvirta, Timo

    This paper examines trends in annual temperature data for the northern and southern hemisphere (1850-2010) by using variants of the shifting-mean autoregressive (SM-AR) model of Gonzalez and Terasvirta (2008). Univariate models are first fitted to each series by using the so called QuickShift me...

  19. The spatial distribution of flocking foragers: disentangling the effects of food availability, interference and conspecific attraction by means of spatial autoregressive modeling

    NARCIS (Netherlands)

    Folmer, E.O.; Olff, H.; Piersma, T.

    2012-01-01

    Patch choice of foraging animals is typically assumed to depend positively on food availability and negatively on interference while benefits of the co-occurrence of conspecifics tend to be ignored. In this paper we integrate a classical functional response model based on resource availability and i

  20. Autoregressive modeling with exogenous input of middle-latency auditory-evoked potentials to measure rapid changes in depth of anesthesia

    DEFF Research Database (Denmark)

    Jensen, E W; Lindholm, P; Henneberg, S W

    1996-01-01

    exogeneous input (ARX) model, to produce a sweep-by-sweep estimate of the AEP. The method was clinically evaluated in 10 patients anesthetized with alfentanil and propofol. The time interval between propofol induction and the time when the Na-Pa amplitude was decreased to 25% of the initial amplitude was...

  1. Do real exchange rates have autoregressive unit roots? a test under the alternative of long memory and breaks

    OpenAIRE

    Dueker, Michael J.; Apostolos Serletis

    2000-01-01

    In this paper, we estimate (by maximum likelihood) the parameters of univariate fractionally integrated real exchange rate time series models, and test for autoregressive unit roots on the alternative of a covariance stationary long-memory process. We use quarterly dollar-based real exchange rates (since 1957) for seventeen OECD countries, and that the finding of unit autoregressive roots does not go away even with this more sophisticated alternative.

  2. The Employment of spatial autoregressive models in predicting demand for natural gas; O Emprego de modelos auto-regressivos espaciais na previsao de demanda para gas natural

    Energy Technology Data Exchange (ETDEWEB)

    Castro, Jorge Henrique de [Petroleo Brasileiro S.A. (PETROBRAS), Rio de Janeiro, RJ (Brazil); Silva, Alexandre Pinto Alves da [Coordenacao dos Programas de Pos-Graduacao de Engenharia (COPPE/UFRJ), RJ (Brazil). Programa de Engenharia Eletrica

    2010-07-01

    Develop the natural gas network is critical success factor for the distribution company. It is a decision that employs the demand given location 'x' and a future time 't' so that the net allows the best conditions for the return of the capital. In this segment, typical network industry, the spatial infra-structure vision associated to the market allows better evaluation of the business because to mitigate costs and risks. In fact, economic models little developed in order to assess the question of the location, due to its little employment by economists. The objective of this article is to analyze the application of spatial perspective in natural gas demand forecasting and to identify the models that can be employed observing issues of dependency and spatial heterogeneity; as well as the capacity of mapping of variables associated with the problem. (author)

  3. Unit root vector autoregression with volatility induced stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have......We propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance. This way we allow for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time maintain...... no finite first-order moments, but remain strictly stationary and ergodic, while they co-move in the sense that their spread has no unit root. The model thus allows for volatility induced stationarity, and the paper shows conditions under which the multivariate process is strictly stationary...

  4. Unit Root Vector Autoregression with volatility Induced Stationarity

    DEFF Research Database (Denmark)

    Rahbek, Anders; Nielsen, Heino Bohn

    stationarity despite such unit-roots. Specifically, the model bridges vector autoregressions and multivariate ARCH models in which residuals are replaced by levels lagged. An empirical illustration using recent US term structure data is given in which the individual interest rates have unit roots, have......We propose a discrete-time multivariate model where lagged levels of the process enter both the conditional mean and the conditional variance. This way we allow for the empirically observed persistence in time series such as interest rates, often implying unit-roots, while at the same time maintain...... no finite first-order moments, but remain strictly stationary and ergodic, while they co-move in the sense that their spread has no unit root. The model thus allows for volatility induced stationarity, and the paper shows conditions under which the multivariate process is strictly stationary...

  5. Modelling approaches for angiogenesis.

    Science.gov (United States)

    Taraboletti, G; Giavazzi, R

    2004-04-01

    The development of a functional vasculature within a tumour is a requisite for its growth and progression. This fact has led to the design of therapies directed toward the tumour vasculature, aiming either to prevent the formation of new vessels (anti-angiogenic) or to damage existing vessels (vascular targeting). The development of agents with different mechanisms of action requires powerful preclinical models for the analysis and optimization of these therapies. This review concerns 'classical' assays of angiogenesis in vitro and in vivo, recent approaches to target identification (analysis of gene and protein expression), and the study of morphological and functional changes in the vasculature in vivo (imaging techniques). It mainly describes assays designed for anti-angiogenic compounds, indicating, where possible, their application to the study of vascular-targeting agents. PMID:15120043

  6. A Fault Diagnosis Approach for Gears Based on IMF AR Model and SVM

    Directory of Open Access Journals (Sweden)

    Yu Yang

    2008-05-01

    Full Text Available An accurate autoregressive (AR model can reflect the characteristics of a dynamic system based on which the fault feature of gear vibration signal can be extracted without constructing mathematical model and studying the fault mechanism of gear vibration system, which are experienced by the time-frequency analysis methods. However, AR model can only be applied to stationary signals, while the gear fault vibration signals usually present nonstationary characteristics. Therefore, empirical mode decomposition (EMD, which can decompose the vibration signal into a finite number of intrinsic mode functions (IMFs, is introduced into feature extraction of gear vibration signals as a preprocessor before AR models are generated. On the other hand, by targeting the difficulties of obtaining sufficient fault samples in practice, support vector machine (SVM is introduced into gear fault pattern recognition. In the proposed method in this paper, firstly, vibration signals are decomposed into a finite number of intrinsic mode functions, then the AR model of each IMF component is established; finally, the corresponding autoregressive parameters and the variance of remnant are regarded as the fault characteristic vectors and used as input parameters of SVM classifier to classify the working condition of gears. The experimental analysis results show that the proposed approach, in which IMF AR model and SVM are combined, can identify working condition of gears with a success rate of 100% even in the case of smaller number of samples.

  7. Multivariate autoregressive algorithms for ocean wave modelling

    Digital Repository Service at National Institute of Oceanography (India)

    Mandal, S.; Lyons, G.J.; Witz, J.A.

    stream_size 8 stream_content_type text/plain stream_name 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt stream_source_info 2_Int_Offshore_Polar_Eng_Conf_Proc_1992_77.pdf.txt Content-Encoding ISO-8859-1 Content-Type text...

  8. A General Representation Theorem for Integrated Vector Autoregressive Processes

    DEFF Research Database (Denmark)

    Franchi, Massimo

    We study the algebraic structure of an I(d) vector autoregressive process, where d is restricted to be an integer. This is useful to characterize its polynomial cointegrating relations and its moving average representation, that is to prove a version of the Granger representation theorem valid...... for I(d) vector autoregressive processes...

  9. Cardiac arrhythmia classification based on mutiple lead electrocardiogram signals and multivariate autoregressive modeling method%基于多导联心电信号和多变量回归模型的心律失常的分类

    Institute of Scientific and Technical Information of China (English)

    葛丁飞; 李时辉; Krishnan S. M.

    2004-01-01

    心电信号(ECG)智能分析非常有利于严重心脏病人的自动诊断.本文介绍了多变量回归模型(MAR)建模法,利用MAR模型从双导联ECG中提取特征对ECG信号进行分类.在分类时,利用MAR模型系数及其K-L变换(K-L MAR系数)作为信号特征,并采用了树状决策过程和二次判别函数(QDF)分类器.利用文中方法对MIT-BIH标准数据库中的正常窦性心律(NSR)、期收缩(APC)、心室早期收缩(PVC)、心室性心动过速(VT)和心室纤维性颤动(VF)各300个样本信号进行了建模和测试. 结果表明,为了达到分类目的,MAR模型阶数取4是足够的,基于MAR系数的分类取得了比基于K-L MAR系数的分类稍好的结果.基于MAR系数的分类获得了97.3%~98.6%的分类精度.%Artificial-intelligence analysis of electrocardiogram (ECG) signals is great benefit to the automatic diagnosis in critical ill patients. Multivariate autoregressive modeling (MAR) for the purpose of classification of cardiac arrhythmias has been introduced. The MAR coefficients and K-L transformation of MAR coefficients extracted from two-lead ECG signals have been utilized for representing the ECG signals. The ECG data obtained from MIT-BIH database included normal sinus rhythm, atria premature contraction, premature ventricular contraction, ventricular tachycardia, and ventricular fibrillation. The current classification was performed using a stage-by-stage quadratic discriminant function (QDF). The results showed a MAR order of 4 was sufficient for the purpose of classification, and MAR coefficients produced slightly better results than K-L transformation of MAR coefficients. The classification accuracy of 97.3% to 98.6% based on MAR coefficients is obtained in the research.

  10. Bayesian modeling and prediction of solar particles flux

    International Nuclear Information System (INIS)

    An autoregression model was developed based on the Bayesian approach. Considering the solar wind non-homogeneity, the idea was applied of combining the pure autoregressive properties of the model with expert knowledge based on a similar behaviour of the various phenomena related to the flux properties. Examples of such situations include the hardening of the X-ray spectrum, which is often followed by coronal mass ejection and a significant increase in the particles flux intensity

  11. Automatic estimation of optimal autoregressive filters for the analysis of volcanic seismic activity

    Directory of Open Access Journals (Sweden)

    P. Lesage

    2008-04-01

    Full Text Available Long-period (LP events observed on volcanoes provide important information for volcano monitoring and for studying the physical processes in magmatic and hydrothermal systems. Of all the methods used to analyse this kind of seismicity, autoregressive (AR modelling is particularly valuable, as it produces precise estimations of the frequencies and quality factors of the spectral peaks that are generated by resonance effects at seismic sources and, via deconvolution of the observed record, it allows the excitation function of the resonator to be determined. However, with AR modelling methods it is difficult to determine the order of the AR filter that will yield the best model of the signal. This note presents an algorithm to overcome this problem, together with some examples of applications. The approach described uses the kurtosis (fourth order cumulant of the deconvolved signal to provide an objective criterion for selecting the filter order. This approach allows the partial automation of the AR analysis and thus provides interesting possibilities for improving volcano monitoring methods.

  12. An algebraic method for constructing stable and consistent autoregressive filters

    International Nuclear Information System (INIS)

    In this paper, we introduce an algebraic method to construct stable and consistent univariate autoregressive (AR) models of low order for filtering and predicting nonlinear turbulent signals with memory depth. By stable, we refer to the classical stability condition for the AR model. By consistent, we refer to the classical consistency constraints of Adams–Bashforth methods of order-two. One attractive feature of this algebraic method is that the model parameters can be obtained without directly knowing any training data set as opposed to many standard, regression-based parameterization methods. It takes only long-time average statistics as inputs. The proposed method provides a discretization time step interval which guarantees the existence of stable and consistent AR model and simultaneously produces the parameters for the AR models. In our numerical examples with two chaotic time series with different characteristics of decaying time scales, we find that the proposed AR models produce significantly more accurate short-term predictive skill and comparable filtering skill relative to the linear regression-based AR models. These encouraging results are robust across wide ranges of discretization times, observation times, and observation noise variances. Finally, we also find that the proposed model produces an improved short-time prediction relative to the linear regression-based AR-models in forecasting a data set that characterizes the variability of the Madden–Julian Oscillation, a dominant tropical atmospheric wave pattern

  13. A flexible prior distribution for Markov switching autoregressions with Student-t errors

    OpenAIRE

    Philippe J. DESCHAMPS

    2012-01-01

    This paper proposes an empirical Bayes approach for Markov switching autoregressions that can constrain some of the state-dependent parameters (regression coefficients and error variances) to be approximately equal across regimes. By flexibly reducing the dimension of the parameter space, this can help to ensure regime separation and to detect the Markov switching nature of the data. The permutation sampler with a hierarchical prior is used for choosing the prior moments, the identification c...

  14. Autoregressive logistic regression applied to atmospheric circulation patterns

    Science.gov (United States)

    Guanche, Y.; Mínguez, R.; Méndez, F. J.

    2014-01-01

    Autoregressive logistic regression models have been successfully applied in medical and pharmacology research fields, and in simple models to analyze weather types. The main purpose of this paper is to introduce a general framework to study atmospheric circulation patterns capable of dealing simultaneously with: seasonality, interannual variability, long-term trends, and autocorrelation of different orders. To show its effectiveness on modeling performance, daily atmospheric circulation patterns identified from observed sea level pressure fields over the Northeastern Atlantic, have been analyzed using this framework. Model predictions are compared with probabilities from the historical database, showing very good fitting diagnostics. In addition, the fitted model is used to simulate the evolution over time of atmospheric circulation patterns using Monte Carlo method. Simulation results are statistically consistent with respect to the historical sequence in terms of (1) probability of occurrence of the different weather types, (2) transition probabilities and (3) persistence. The proposed model constitutes an easy-to-use and powerful tool for a better understanding of the climate system.

  15. Modelling Australian Stock Market Volatility: A Multivariate GARCH Approach

    OpenAIRE

    Valadkhani, Abbas; O'Brien, Martin; Karunanayake, Indika

    2009-01-01

    This paper uses a multivariate generalized autoregressive conditional heteroskedasticity (MGARCH) model to provide an insight into the nature of interaction between stock market returns of four countries, namely, Australia, Singapore, the UK, and the US. Using weekly data spanning from January 1992 to December 2008 the results indicate that all markets (particularly Australia and Singapore) display significant positive mean-spillovers from the US stock market returns but not vice versa. We al...

  16. On the range of validity of the autoregressive sieve bootstrap

    OpenAIRE

    Kreiss, Jens-Peter; Paparoditis, Efstathios; Politis, Dimitris N.

    2012-01-01

    We explore the limits of the autoregressive (AR) sieve bootstrap, and show that its applicability extends well beyond the realm of linear time series as has been previously thought. In particular, for appropriate statistics, the AR-sieve bootstrap is valid for stationary processes possessing a general Wold-type autoregressive representation with respect to a white noise; in essence, this includes all stationary, purely nondeterministic processes, whose spectral density is everywhere positive....

  17. Theoretical results on fractionally integrated exponential generalized autoregressive conditional heteroskedastic processes

    Science.gov (United States)

    Lopes, Sílvia R. C.; Prass, Taiane S.

    2014-05-01

    Here we present a theoretical study on the main properties of Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedastic (FIEGARCH) processes. We analyze the conditions for the existence, the invertibility, the stationarity and the ergodicity of these processes. We prove that, if { is a FIEGARCH(p,d,q) process then, under mild conditions, { is an ARFIMA(q,d,0) with correlated innovations, that is, an autoregressive fractionally integrated moving average process. The convergence order for the polynomial coefficients that describes the volatility is presented and results related to the spectral representation and to the covariance structure of both processes { and { are discussed. Expressions for the kurtosis and the asymmetry measures for any stationary FIEGARCH(p,d,q) process are also derived. The h-step ahead forecast for the processes {, { and { are given with their respective mean square error of forecast. The work also presents a Monte Carlo simulation study showing how to generate, estimate and forecast based on six different FIEGARCH models. The forecasting performance of six models belonging to the class of autoregressive conditional heteroskedastic models (namely, ARCH-type models) and radial basis models is compared through an empirical application to Brazilian stock market exchange index.

  18. Autoregressive Prediction with Rolling Mechanism for Time Series Forecasting with Small Sample Size

    Directory of Open Access Journals (Sweden)

    Zhihua Wang

    2014-01-01

    Full Text Available Reasonable prediction makes significant practical sense to stochastic and unstable time series analysis with small or limited sample size. Motivated by the rolling idea in grey theory and the practical relevance of very short-term forecasting or 1-step-ahead prediction, a novel autoregressive (AR prediction approach with rolling mechanism is proposed. In the modeling procedure, a new developed AR equation, which can be used to model nonstationary time series, is constructed in each prediction step. Meanwhile, the data window, for the next step ahead forecasting, rolls on by adding the most recent derived prediction result while deleting the first value of the former used sample data set. This rolling mechanism is an efficient technique for its advantages of improved forecasting accuracy, applicability in the case of limited and unstable data situations, and requirement of little computational effort. The general performance, influence of sample size, nonlinearity dynamic mechanism, and significance of the observed trends, as well as innovation variance, are illustrated and verified with Monte Carlo simulations. The proposed methodology is then applied to several practical data sets, including multiple building settlement sequences and two economic series.

  19. A MODEL FOR THE PALM OIL MARKET IN NIGERIA: AN ECONOMETRICS APPROACH

    Directory of Open Access Journals (Sweden)

    Henry Egwuma

    2016-04-01

    Full Text Available The aim of this study is to formulate and estimate a model for the palm oil market in Nigeria with a view to identifying principal factors that shape the Nigerian palm oil industry. Four structural equation models comprising palm oil production, import demand, domestic demand and producer price have been estimated using the autoregressive distributed lag (ARDL cointegration approach over the 1970 to 2011 period. The results reveal that significant factors that influence the Nigerian palm oil industry include the own price, technological improvements, and income level. Government expenditure on agricultural development is also an important determinant, which underscores the need for government support in agriculture. Our model provides a useful framework for analyzing the effects of changes in major exogenous variables such as income or import tariff on the production, demand, and price of palm oil.

  20. 基于向量自回归模型的中国食物安全预警%China’s food security and early-warning system based on vector autoregression (VAR) model

    Institute of Scientific and Technical Information of China (English)

    吕新业

    2013-01-01

      该文基于1980-2011年的人均粮食、禽蛋、肉类和水产品的产量和消费量数据,以及4类产品的价格指数数据,构建了中国食物安全预警的指标体系,运用向量自回归模型(VAR)对食物安全指标进行预测,再采用主成分法合成食物安全总指数,在此基础上对2012-2013年的食物安全状况进行预警分析。结果表明:基于1980-2011年的数据得到2012年和2013年的食物安全总指数分别为62和74。通过对2011年的预警值与实际值的比较,得到该预警模型的预测误差仅为4.2%,说明该模型系统的预测精度较高,可以用于未来中国食物安全预警研究。总体来看,2012-2013年中国食物安全状况为轻警。%Food safety pre-warning is the process including the application of the pre-warning theory and method, analysis and evaluation of relevant indicators reflecting food safety conditions, prediction of safety development and sounding the pre-warning. China’s food safety pre-warning supply derived from the study of China's grain security early warning system, which can be divided into a traditional warning model and a modern warning model. The traditional model is mainly based on the predictions of the trend of the grain production growth rate, predictions of grain supply and demand, predictions of grain staff indexes, predictions of grain fluctuation cycle, and predictions of prosperity. Based on China’s per capita production and consumption of grain, eggs, meat, aquaculture products, and the price indexes of these four types of products from 1980 to 2011, this study establishes the index for China’s food safety early-warning system. The Vector Autoregression Model (VAR) is used to predict China’s food safety indicators, and the Principal Component statistical method is used to synthesize the aggregated food safety index, and China’s food safety in 2012 and 2013 are projected. Specifically, this study

  1. Material Modelling - Composite Approach

    DEFF Research Database (Denmark)

    Nielsen, Lauge Fuglsang

    1997-01-01

    such as introduced by eigenstrain/stress actions like shrinkage, temperature, and alkali-aggregate reactions.Based on the overall positive results reported it is suggested that creep functions needed in Finite Element Analysis (FEM-analysis) of structures can be established from computer-simulated experiments based......, and internal stresses caused by drying shrinkage with experimental results reported in the literature on the mechanical behavior of mature concretes. It is then concluded that the model presented applied in general with respect to age at loading.From a stress analysis point of view the most important finding...

  2. Dynamic effects of public investment: Vector autoregressive evidence from six industrialized countries

    OpenAIRE

    Stefan Mittnik; Thorsten Neumann

    2001-01-01

    We analyze the dynamic relationship between public investment and output. Whereas existing empirical studies on the effects of public capital typically rely on single-equation models of the private sector, we investigate the role of public investment in an economy by examining impulse responses derived from vector autoregressions. Using data from six industrial countries, we specifically examine the following questions: does higher public investment lead to GDP increases; is there reverse cau...

  3. Testing for rational bubbles in a co-explosive vector autoregression

    DEFF Research Database (Denmark)

    Engsted, Tom; Nielsen, Bent

    We derive the parameter restrictions that a standard equity market model implies for a bivariate vector autoregression for stock prices and dividends, and we show how to test these restrictions using likelihood ratio tests. The restrictions, which imply that stock returns are unpredictable, are d...... analysed using a co-explosive framework. The methodology is illustrated using US stock prices and dividends for the period 1872-2000....

  4. VECTOR AUTOREGRESSION EVIDENCE ON MONETARISM: A FOCUS ON SOME DEVELOPING ECONOMIES IN SOUTH ASIA

    OpenAIRE

    MUDABBER AHMED; U. L. G. RAO

    2006-01-01

    The objective of this paper is to test the validity of two views of monetarism in Bangladesh, India, and Pakistan. A Structural Vector Autoregressive (SVAR) model is developed and the objective is accomplished by conducting Granger causality tests and estimating variance decompositions and impulse response functions. The first view of monetarism that changes in the quantity of money cause, lead and are positively related to changes in prices at least in the medium to long time horizon is supp...

  5. No-reference image sharpness assessment in autoregressive parameter space.

    Science.gov (United States)

    Gu, Ke; Zhai, Guangtao; Lin, Weisi; Yang, Xiaokang; Zhang, Wenjun

    2015-10-01

    In this paper, we propose a new no-reference (NR)/blind sharpness metric in the autoregressive (AR) parameter space. Our model is established via the analysis of AR model parameters, first calculating the energy- and contrast-differences in the locally estimated AR coefficients in a pointwise way, and then quantifying the image sharpness with percentile pooling to predict the overall score. In addition to the luminance domain, we further consider the inevitable effect of color information on visual perception to sharpness and thereby extend the above model to the widely used YIQ color space. Validation of our technique is conducted on the subsets with blurring artifacts from four large-scale image databases (LIVE, TID2008, CSIQ, and TID2013). Experimental results confirm the superiority and efficiency of our method over existing NR algorithms, the stateof-the-art blind sharpness/blurriness estimators, and classical full-reference quality evaluators. Furthermore, the proposed metric can be also extended to stereoscopic images based on binocular rivalry, and attains remarkably high performance on LIVE3D-I and LIVE3D-II databases. PMID:26054063

  6. Measuring Expected Inflation and the Ex-Ante Real Interest Rate in the Euro Area Using Structural Vector Autoregressions

    OpenAIRE

    Gottschalk, Jan

    2001-01-01

    In this paper, the structural vector autoregression methodology is used to decompose the euro area nominal short-term interest rate into an expected inflation and an ex-ante real interest rate component. The latter may be a useful indicator of the monetary policy stance of the ECB. To this end, a vector autoregression model comprised of the differenced interest rate series and the stationary component of the real interest rate is estimated and shocks to expected inflation and the ex-ante real...

  7. The Kernel Adaptive Autoregressive-Moving-Average Algorithm.

    Science.gov (United States)

    Li, Kan; Príncipe, José C

    2016-02-01

    In this paper, we present a novel kernel adaptive recurrent filtering algorithm based on the autoregressive-moving-average (ARMA) model, which is trained with recurrent stochastic gradient descent in the reproducing kernel Hilbert spaces. This kernelized recurrent system, the kernel adaptive ARMA (KAARMA) algorithm, brings together the theories of adaptive signal processing and recurrent neural networks (RNNs), extending the current theory of kernel adaptive filtering (KAF) using the representer theorem to include feedback. Compared with classical feedforward KAF methods, the KAARMA algorithm provides general nonlinear solutions for complex dynamical systems in a state-space representation, with a deferred teacher signal, by propagating forward the hidden states. We demonstrate its capabilities to provide exact solutions with compact structures by solving a set of benchmark nondeterministic polynomial-complete problems involving grammatical inference. Simulation results show that the KAARMA algorithm outperforms equivalent input-space recurrent architectures using first- and second-order RNNs, demonstrating its potential as an effective learning solution for the identification and synthesis of deterministic finite automata. PMID:25935049

  8. Statistical early-warning indicators based on Auto-Regressive Moving-Average processes

    CERN Document Server

    Faranda, Davide; Dubrulle, Bérengère

    2014-01-01

    We address the problem of defining early warning indicators of critical transition. To this purpose, we fit the relevant time series through a class of linear models, known as Auto-Regressive Moving-Average (ARMA(p,q)) models. We define two indicators representing the total order and the total persistence of the process, linked, respectively, to the shape and to the characteristic decay time of the autocorrelation function of the process. We successfully test the method to detect transitions in a Langevin model and a 2D Ising model with nearest-neighbour interaction. We then apply the method to complex systems, namely for dynamo thresholds and financial crisis detection.

  9. Model Construct Based Enterprise Model Architecture and Its Modeling Approach

    Institute of Scientific and Technical Information of China (English)

    2002-01-01

    In order to support enterprise integration, a kind of model construct based enterprise model architecture and its modeling approach are studied in this paper. First, the structural makeup and internal relationships of enterprise model architecture are discussed. Then, the concept of reusable model construct (MC) which belongs to the control view and can help to derive other views is proposed. The modeling approach based on model construct consists of three steps, reference model architecture synthesis, enterprise model customization, system design and implementation. According to MC based modeling approach a case study with the background of one-kind-product machinery manufacturing enterprises is illustrated. It is shown that proposal model construct based enterprise model architecture and modeling approach are practical and efficient.

  10. Kepler AutoRegressive Planet Search: Initial Results

    Science.gov (United States)

    Caceres, Gabriel; Feigelson, Eric; Jogesh Babu, G.; Bahamonde, Natalia; Bertin, Karine; Christen, Alejandra; Curé, Michel; Meza, Cristian

    2015-08-01

    The statistical analysis procedures of the Kepler AutoRegressive Planet Search (KARPS) project are applied to a portion of the publicly available Kepler light curve data for the full 4-year mission duration. Tests of the methods have been made on a subset of Kepler Objects of Interest (KOI) systems, classified both as planetary `candidates' and `false positives' by the Kepler Team, as well as a random sample of unclassified systems. We find that the ARMA-type modeling successfully reduces the stellar variability, by a factor of 10 or more in active stars and by smaller factors in more quiescent stars. A typical quiescent Kepler star has an interquartile range (IQR) of ~10 e-/sec, which may improve slightly after modeling, while those with IQR ranging from 20 to 50 e-/sec, have improvements from 20% up to 70%. High activity stars (IQR exceeding 100) markedly improve, but visual inspection of the residual series shows that significant deviations from Gaussianity remain for many of them. Although the reduction in stellar signal is encouraging, it is important to note that the transit signal is also altered in the resulting residual time series. The periodogram derived from our Transit Comb Filter (TCF) is most effective for shorter period planets with quick ingress/egress times (relative to Kepler's 29-minute sample rate). We do not expect high sensitivity to periods of hundreds of days. Our findings to date on real-data tests of the KARPS methodology will be discussed including confirmation of some Kepler Team `candidate' planets, no confirmation of some `candidate' and `false positive' sytems, and suggestions of mischosen harmonics in the Kepler Team periodograms. We also present cases of new possible planetary signals.

  11. Limit theorems for bifurcating integer-valued autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under suitable assumptions on the immigration, we establish the almost sure convergence of our estimators, together with the quadratic strong law and central limit theorems. All our investigation relies on asymptotic results for vector-valued martingales.

  12. Modeling Advertising Expenditures and Spillover Effects Applied to the U.S. Non-Alcoholic Beverage Industry: Vector Autoregression (VAR) and Polynomial Distributed Lag (PDL) Approaches

    OpenAIRE

    Dharmasena, Senarath; Capps, Oral, Jr.; Bessler, David A.

    2012-01-01

    The non-alcoholic beverage market in the U.S. is a multi-billion dollar industry growing steadily over the past decade. Also, non-alcoholic beverages are among the most heavily advertised food and beverage groups in the United States. Several studies pertaining to non-alcoholic beverages including the incorporation of advertising effects have been conducted, but most of these have centered attention on milk consumption. Some studies have considered demand interrelationships for several bevera...

  13. Vector autoregression evidence on monetarism: another look at the robustness debate

    OpenAIRE

    Richard M. Todd

    1990-01-01

    This paper is a case study of the use of vector autoregression (VAR) models to test economic theories. It focuses on the work of Christopher A. Sims, who in 1980 found that relationships in economic data generated by a small VAR model were inconsistent with those implied by a simple form of monetarist theory. The paper describes the work of researchers who criticized Sims' results as not robust and Sims' response to these critics. The paper reexamines all of this work by estimating hundreds o...

  14. Modelling West African Total Precipitation Depth: A Statistical Approach

    Directory of Open Access Journals (Sweden)

    S. Sovoe

    2015-09-01

    Full Text Available Even though several reports over the past few decades indicate an increasing aridity over West Africa, attempts to establish the controlling factor(s have not been successful. The traditional belief of the position of the Inter-tropical Convergence Zone (ITCZ as the predominant factor over the region has been refuted by recent findings. Changes in major atmospheric circulations such as African Easterly Jet (AEJ and Tropical Easterly Jet (TEJ are being cited as major precipitation driving forces over the region. Thus, any attempt to predict long term precipitation events over the region using Global Circulation or Local Circulation Models could be flawed as the controlling factors are not fully elucidated yet. Successful prediction effort may require models which depend on past events as their inputs as in the case of time series models such as Autoregressive Integrated Moving Average (ARIMA model. In this study, historical precipitation data was imported as time series data structure into an R programming language and was used to build appropriate Seasonal Multiplicative Autoregressive Integrated Moving Average model, ARIMA (p, d, q*(P, D, Q. The model was then used to predict long term precipitation events over the Ghanaian segment of the Volta Basin which could be used in planning and implementation of development policies.

  15. Fault Intelligent Diagnosis for Rolling Bearings Based on Time Varying Autoregressive Model and Neural Network%基于时变自回归模型与神经网络的滚动轴承故障智能诊断

    Institute of Scientific and Technical Information of China (English)

    谢三毛

    2014-01-01

    使用时变自回归建模分析方法建立滚动轴承振动信号特征提取模型,基于基函数算法求解该模型的时变参数,并采用AIC准则确定模型阶数。在利用上述参数化模型对轴承振动信号进行特征提取的基础上,构建BP神经网络,有效地实现了轴承故障的智能诊断。%The feature extraction model for vibration signal of rolling bearings is established by using time varying au-toregressive modeling method.The time varying parameters for the model is solved based on basis function arithmetic, and the model order is determined by using AIC rule.On the basis of above-mentioned parameterized model for fea-ture extraction,a BP neural network is built,and the intelligent diagnosis for fault of rolling bearings is effectively real-ized.

  16. Multiple Model Approaches to Modelling and Control,

    DEFF Research Database (Denmark)

    learning. The underlying question is `How should we partition the system - what is `local'?'. This book presents alternative ways of bringing submodels together,which lead to varying levels of performance and insight. Some are further developed for autonomous learning of parameters from data, while others...... into multiple smaller operating regimes each of which is associated a locally valid model orcontroller. This can often give a simplified and transparent nonlinear model or control representation. In addition, the local approach has computationaladvantages, it lends itself to adaptation and learning...

  17. HEDR modeling approach: Revision 1

    International Nuclear Information System (INIS)

    This report is a revision of the previous Hanford Environmental Dose Reconstruction (HEDR) Project modeling approach report. This revised report describes the methods used in performing scoping studies and estimating final radiation doses to real and representative individuals who lived in the vicinity of the Hanford Site. The scoping studies and dose estimates pertain to various environmental pathways during various periods of time. The original report discussed the concepts under consideration in 1991. The methods for estimating dose have been refined as understanding of existing data, the scope of pathways, and the magnitudes of dose estimates were evaluated through scoping studies

  18. A nonlinear approach to modelling the residential electricity consumption in Ethiopia

    International Nuclear Information System (INIS)

    In this paper an attempt is made to model, analyze and forecast the residential electricity consumption in Ethiopia using the self-exciting threshold autoregressive (SETAR) model and the smooth transition regression (STR) model. For comparison purposes, the application was also extended to standard linear models. During the empirical presentation of both models, significant nonlinear effects were found and linearity was rejected. The SETAR model was found out to be relatively better than the linear autoregressive model in out-of-sample point and interval (density) forecasts. Results from our STR model showed that the residual variance of the fitted STR model was only about 65.7% of that of the linear ARX model. Thus, we can conclude that the inclusion of the nonlinear part, which basically accounts for the arrival of extreme price events, leads to improvements in the explanatory abilities of the model for electricity consumption in Ethiopia. (author)

  19. Parameter Estimation for Generalized Brownian Motion with Autoregressive Increments

    CERN Document Server

    Fendick, Kerry

    2011-01-01

    This paper develops methods for estimating parameters for a generalization of Brownian motion with autoregressive increments called a Brownian ray with drift. We show that a superposition of Brownian rays with drift depends on three types of parameters - a drift coefficient, autoregressive coefficients, and volatility matrix elements, and we introduce methods for estimating each of these types of parameters using multidimensional times series data. We also cover parameter estimation in the contexts of two applications of Brownian rays in the financial sphere: queuing analysis and option valuation. For queuing analysis, we show how samples of queue lengths can be used to estimate the conditional expectation functions for the length of the queue and for increments in its net input and lost potential output. For option valuation, we show how the Black-Scholes-Merton formula depends on the price of the security on which the option is written through estimates not only of its volatility, but also of a coefficient ...

  20. On the range of validity of the autoregressive sieve bootstrap

    CERN Document Server

    Kreiss, Jens-Peter; Politis, Dimitris N; 10.1214/11-AOS900

    2012-01-01

    We explore the limits of the autoregressive (AR) sieve bootstrap, and show that its applicability extends well beyond the realm of linear time series as has been previously thought. In particular, for appropriate statistics, the AR-sieve bootstrap is valid for stationary processes possessing a general Wold-type autoregressive representation with respect to a white noise; in essence, this includes all stationary, purely nondeterministic processes, whose spectral density is everywhere positive. Our main theorem provides a simple and effective tool in assessing whether the AR-sieve bootstrap is asymptotically valid in any given situation. In effect, the large-sample distribution of the statistic in question must only depend on the first and second order moments of the process; prominent examples include the sample mean and the spectral density. As a counterexample, we show how the AR-sieve bootstrap is not always valid for the sample autocovariance even when the underlying process is linear.

  1. Robust estimation of nonstationary, fractionally integrated, autoregressive, stochastic volatility

    OpenAIRE

    Mark J. Jensen

    2015-01-01

    Empirical volatility studies have discovered nonstationary, long-memory dynamics in the volatility of the stock market and foreign exchange rates. This highly persistent, infinite variance - but still mean reverting - behavior is commonly found with nonparametric estimates of the fractional differencing parameter d, for financial volatility. In this paper, a fully parametric Bayesian estimator, robust to nonstationarity, is designed for the fractionally integrated, autoregressive, stochastic ...

  2. Asymptotic results for bifurcating random coefficient autoregressive processes

    CERN Document Server

    Blandin, Vassili

    2012-01-01

    The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating autoregressive processes. Under suitable assumptions on the immigration and the inheritance, we establish the almost sure convergence of our estimators, as well as a quadratic strong law and central limit theorems. Our study mostly relies on limit theorems for vector-valued martingales.

  3. Accurate determination of phase arrival times using autoregressive likelihood estimation

    Directory of Open Access Journals (Sweden)

    G. Kvaerna

    1994-06-01

    Full Text Available We have investigated the potential automatic use of an onset picker based on autoregressive likelihood estimation. Both a single component version and a three component version of this method have been tested on data from events located in the Khibiny Massif of the Kola peninsula, recorded at the Apatity array, the Apatity three component station and the ARCESS array. Using this method, we have been able to estimate onset times to an accuracy (standard deviation of about 0.05 s for P-phases and 0.15 0.20 s for S phases. These accuracies are as good as for analyst picks, and are considerably better than the accuracies of the current onset procedure used for processing of regional array data at NORSAR. In another application, we have developed a generic procedure to reestimate the onsets of all types of first arriving P phases. By again applying the autoregressive likelihood technique, we have obtained automatic onset times of a quality such that 70% of the automatic picks are within 0.1 s of the best manual pick. For the onset time procedure currently used at NORSAR, the corresponding number is 28%. Clearly, automatic reestimation of first arriving P onsets using the autoregressive likelihood technique has the potential of significantly reducing the retiming efforts of the analyst.

  4. Can Markov regime-switching models improve power-price forecasts? Evidence from German daily power prices

    International Nuclear Information System (INIS)

    Non-linear autoregressive Markov regime-switching models are intuitive. Time-series approaches for the modelling of electricity spot prices are frequently proposed. In this paper, such models are compared with an ordinary linear autoregressive model with regard to their forecast performances. The study is carried out using German daily spot-prices from the European Energy Exchange in Leipzig. Four non-linear models are used for the forecast study. The results of the study suggest that Markov regime-switching models provide better forecasts than linear models. (author)

  5. Remittance and economic development: Evidence from Bangladesh using unrestricted error correction model and Engle-Granger cointegration approach

    Directory of Open Access Journals (Sweden)

    Shimul Shafiun N

    2013-04-01

    Full Text Available Remittance is one of the popular issues in the development economics. This paper attempted at finding the relationship between remittance flow and economic development using time series data of 1976-2007. The two modern time series econometric approaches- bound testing Autoregressive Distributed Lag Models or Unrestricted Error Correction Model (UECM and Engel Granger two step procedure for co-integration test- were executed and this study found that remittance was not significantly affecting the GDP per capita both in the short and long run although the foreign direct investment was found significant in the short but not in the long run. The study suggested adopting appropriate steps so that these can be used as a contributor to the economic development.

  6. On the speed towards the mean for continuous time autoregressive moving average processes with applications to energy markets

    International Nuclear Information System (INIS)

    We extend the concept of half life of an Ornstein–Uhlenbeck process to Lévy-driven continuous-time autoregressive moving average processes with stochastic volatility. The half life becomes state dependent, and we analyze its properties in terms of the characteristics of the process. An empirical example based on daily temperatures observed in Petaling Jaya, Malaysia, is presented, where the proposed model is estimated and the distribution of the half life is simulated. The stationarity of the dynamics yield futures prices which asymptotically tend to constant at an exponential rate when time to maturity goes to infinity. The rate is characterized by the eigenvalues of the dynamics. An alternative description of this convergence can be given in terms of our concept of half life. - Highlights: • The concept of half life is extended to Levy-driven continuous time autoregressive moving average processes • The dynamics of Malaysian temperatures are modeled using a continuous time autoregressive model with stochastic volatility • Forward prices on temperature become constant when time to maturity tends to infinity • Convergence in time to maturity is at an exponential rate given by the eigenvalues of the model temperature model

  7. Prediction of Liquid Sodium Flow Rate through the Core of the IBR-2M Reactor Using Nonlinear Autoregressive Neural Networks

    Science.gov (United States)

    Ososkov, G.; Pepelyshev, Yu.; Tsogtsaikhan, Ts.

    2016-02-01

    This paper presents an artificial neural network method for long-term prediction of liquid sodium flow rate through the core of the IBR-2M reactor. The nonlinear autoregressive neural network (NAR) with local feedback connection has been considered as the most appropriate tool for such a prediction. The predicted results were compared with experimental values. NAR model predicts slow changes of liquid sodium flow rate up to two days with an error less than 5%.

  8. Prediction of Liquid Sodium Flow Rate through the Core of the IBR-2M Reactor Using Nonlinear Autoregressive Neural Networks

    Directory of Open Access Journals (Sweden)

    Ososkov G.

    2016-01-01

    Full Text Available This paper presents an artificial neural network method for long-term prediction of liquid sodium flow rate through the core of the IBR-2M reactor. The nonlinear autoregressive neural network (NAR with local feedback connection has been considered as the most appropriate tool for such a prediction. The predicted results were compared with experimental values. NAR model predicts slow changes of liquid sodium flow rate up to two days with an error less than 5%.

  9. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    International Nuclear Information System (INIS)

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval

  10. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Energy Technology Data Exchange (ETDEWEB)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan [Department of Civil and Structural Engineering, Faculty of Engineering and Built Environment, Universiti Kebangsaan Malaysia, 43600 Bangi, Selangor (Malaysia)

    2014-09-12

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  11. Medium term municipal solid waste generation prediction by autoregressive integrated moving average

    Science.gov (United States)

    Younes, Mohammad K.; Nopiah, Z. M.; Basri, Noor Ezlin A.; Basri, Hassan

    2014-09-01

    Generally, solid waste handling and management are performed by municipality or local authority. In most of developing countries, local authorities suffer from serious solid waste management (SWM) problems and insufficient data and strategic planning. Thus it is important to develop robust solid waste generation forecasting model. It helps to proper manage the generated solid waste and to develop future plan based on relatively accurate figures. In Malaysia, solid waste generation rate increases rapidly due to the population growth and new consumption trends that characterize the modern life style. This paper aims to develop monthly solid waste forecasting model using Autoregressive Integrated Moving Average (ARIMA), such model is applicable even though there is lack of data and will help the municipality properly establish the annual service plan. The results show that ARIMA (6,1,0) model predicts monthly municipal solid waste generation with root mean square error equals to 0.0952 and the model forecast residuals are within accepted 95% confident interval.

  12. Nonlinear and Quasi-Simplex Patterns in Latent Growth Models

    Science.gov (United States)

    Bianconcini, Silvia

    2012-01-01

    In the SEM literature, simplex and latent growth models have always been considered competing approaches for the analysis of longitudinal data, even if they are strongly connected and both of specific importance. General dynamic models, which simultaneously estimate autoregressive structures and latent curves, have been recently proposed in the…

  13. Time Series ARIMA Models of Undergraduate Grade Point Average.

    Science.gov (United States)

    Rogers, Bruce G.

    The Auto-Regressive Integrated Moving Average (ARIMA) Models, often referred to as Box-Jenkins models, are regression methods for analyzing sequential dependent observations with large amounts of data. The Box-Jenkins approach, a three-stage procedure consisting of identification, estimation and diagnosis, was used to select the most appropriate…

  14. A Bayesian approach to model uncertainty

    International Nuclear Information System (INIS)

    A Bayesian approach to model uncertainty is taken. For the case of a finite number of alternative models, the model uncertainty is equivalent to parameter uncertainty. A derivation based on Savage's partition problem is given

  15. Bayesian semi-parametric forecasting of particle number concentration: penalised splines and autoregressive errors

    CERN Document Server

    Clifford, Sam; Choy, Sama Low; Corander, Jukka; Hämeri, Kaarle; Mengersen, Kerrie; Hussein, Tareq

    2012-01-01

    In this paper we develop a semi-parametric Bayesian regression model for forecasting from a model of temporal trends, covariates and autocorrelated residuals. Non-linear covariate effects and their interactions are included in the model via penalised B-splines with an informative smoothing prior. Forecasting is consistent with the estimates of residual autocorrelation and spline coefficients are conditioned on the smoothing and autoregression parameters. The developed model is applied to the problem of forecasting ultrafine particle number concentration (PNC) in Helsinki, Finland. We obtain an estimate of the joint annual and daily trends, describing the changes in hourly PNC concentration, as well as weekly trends and the effect of traffic and local meteorological conditions.

  16. Accurate determination of phase arrival times using autoregressive likelihood estimation

    OpenAIRE

    G. Kvaerna

    1994-01-01

    We have investigated the potential automatic use of an onset picker based on autoregressive likelihood estimation. Both a single component version and a three component version of this method have been tested on data from events located in the Khibiny Massif of the Kola peninsula, recorded at the Apatity array, the Apatity three component station and the ARCESS array. Using this method, we have been able to estimate onset times to an accuracy (standard deviation) of about 0.05 s for P-phases ...

  17. Probabilistic approaches to the modelling of fluvial processes

    Science.gov (United States)

    Molnar, Peter

    2013-04-01

    Fluvial systems generally exhibit sediment dynamics that are strongly stochastic. This stochasticity comes basically from three sources: (a) the variability and randomness in sediment supply due to surface properties and topography; (b) from the multitude of pathways that sediment may take on hillslopes and in channels, and the uncertainty in travel times and sediment storage along those pathways; and (c) from the stochasticity which is inherent in mobilizing sediment, either by heavy rain, landslides, debris flows, slope erosion, channel avulsions, etc. Fully deterministic models of fluvial systems, even if they are physically realistic and very complex, are likely going to be unable to capture this stochasticity and as a result will fail to reproduce long-term sediment dynamics. In this paper I will review another approach to modelling fluvial processes, which grossly simplifies the systems itself, but allows for stochasticity in sediment supply, mobilization and transport. I will demonstrate the benefits and limitations of this probabilistic approach to fluvial processes on three examples. The first example is a probabilistic sediment cascade which we developed for the Illgraben, a debris flow basin in the Rhone catchment. In this example it will be shown how the probability distribution of landslides generating sediment input into the channel system is transposed into that of sediment yield out of the basin by debris flows. The key role of transient sediment storage in the channel system, which limits the size of potential debris flows, is highlighted together with the influence of the landslide triggering mechanisms and climate stochasticity. The second example focuses on the river reach scale in the Maggia River, a braided gravel-bed stream where the exposed sediment on gravel bars is colonised by riparian vegetation in periods without floods. A simple autoregressive model with a disturbance and colonization term is used to simulate the growth and decline in

  18. A combined modeling approach for wind power feed-in and electricity spot prices

    International Nuclear Information System (INIS)

    Wind power generation and its impacts on electricity prices has strongly increased in the EU. Therefore, appropriate mark-to-market evaluation of new investments in wind power and energy storage plants should consider the fluctuant generation of wind power and uncertain electricity prices, which are affected by wind power feed-in (WPF). To gain the input data for WPF and electricity prices, simulation models, such as econometric models, can serve as a data basis. This paper describes a combined modeling approach for the simulation of WPF series and electricity prices considering the impacts of WPF on prices based on an autoregressive approach. Thereby WPF series are firstly simulated for each hour of the year and integrated in the electricity price model to generate an hourly resolved price series for a year. The model results demonstrate that the WPF model delivers satisfying WPF series and that the extended electricity price model considering WPF leads to a significant improvement of the electricity price simulation compared to a model version without WPF effects. As the simulated series of WPF and electricity prices also contain the correlation between both series, market evaluation of wind power technologies can be accurately done based on these series. - Highlights: • Wind power feed-in can be directly simulated with stochastic processes. • Non-linear relationship between wind power feed-in and electricity prices. • Price reduction effect of wind power feed-in depends on the actual load. • Considering wind power feed-in effects improves the electricity price simulation. • Combined modeling of both parameters delivers a data basis for evaluation tools

  19. Comparison of conventional averaged and rapid averaged, autoregressive-based extracted auditory evoked potentials for monitoring the hypnotic level during propofol induction

    DEFF Research Database (Denmark)

    Litvan, Héctor; Jensen, Erik W; Galan, Josefina; Lund, Jeppe; Rodriguez, Bernardo E; Henneberg, Steen W; Caminal, Pere; Villar Landeira, Juan M

    2002-01-01

    The extraction of the middle latency auditory evoked potentials (MLAEP) is usually done by moving time averaging (MTA) over many sweeps (often 250-1,000), which could produce a delay of more than 1 min. This problem was addressed by applying an autoregressive model with exogenous input (ARX) that...

  20. Packet loss replacement in voip using a recursive low-order autoregressive modelbased speech

    International Nuclear Information System (INIS)

    In real-time packet-based communication systems one major problem is misrouted or delayed packets which results in degraded perceived voice quality. When some speech packets are not available on time, the packet is known as lost packet in real-time communication systems. The easiest task of a network terminal receiver is to replace silence for the duration of lost speech segments. In a high quality communication system in order to avoid quality reduction due to packet loss a suitable method and/or algorithm is needed to replace the missing segments of speech. In this paper, we introduce a recursive low order autoregressive (AR) model for replacement of lost speech segment. The evaluation results show that this method has a lower mean square error (MSE) and low complexity compared to the other efficient methods like high-order AR model without any substantial degradation in perceived voice quality.

  1. Integer valued autoregressive processes with generalized discrete Mittag-Leffler marginals

    Directory of Open Access Journals (Sweden)

    Kanichukattu K. Jose

    2013-05-01

    Full Text Available In this paper we consider a generalization of discrete Mittag-Leffler distributions. We introduce and study the properties of a new distribution called geometric generalized discrete Mittag-Leffler distribution. Autoregressive processes with geometric generalized discrete Mittag-Leffler distributions are developed and studied. The distributions are further extended to develop a more general class of geometric generalized discrete semi-Mittag-Leffler distributions. The processes are extended to higher orders also. An application with respect to an empirical data on customer arrivals in a bank counter is also given. Various areas of potential applications like human resource development, insect growth, epidemic modeling, industrial risk modeling, insurance and actuaries, town planning etc are also discussed.

  2. A DEOXYRIBONUCLEIC ACID COMPRESSION ALGORITHM USING AUTO-REGRESSION AND SWARM INTELLIGENCE

    Directory of Open Access Journals (Sweden)

    Walid Aly

    2013-01-01

    Full Text Available DNA compression challenge has become a major task for many researchers as a result of exponential increase of produced DNA sequences in gene databases; in this research we attempt to solve the DNA compression challenge by developing a lossless compression algorithm. The proposed algorithm works in horizontal mode using a substitutional-statistical technique which is based on Auto Regression modeling (AR, the model parameters are determined using Particle Swarm Optimization (PSO. This algorithm is called Swarm Auto-Regression DNA Compression (SARDNAComp. SARDNAComp aims to reach higher compression ratio which make its application beneficial for both practical and functional aspects due to reduction of storage, retrieval, transmission costs and inferring structure and function of sequences from compression, SARDNAComp is tested on eleven benchmark DNA sequences and compared to current algorithms of DNA compression, the results showed that (SARDNAComp outperform these algorithms.

  3. Identification of Civil Engineering Structures using Multivariate ARMAV and RARMAV Models

    DEFF Research Database (Denmark)

    Kirkegaard, Poul Henning; Andersen, P.; Brincker, Rune

    This paper presents how to make system identification of civil engineering structures using multivariate auto-regressive moving-average vector (ARMAV) models. Further, the ARMAV technique is extended to a recursive technique (RARMAV). The ARMAV model is used to identify measured stationary data....... The results show the usefulness of the approaches for identification of civil engineering structures excited by natural excitation...

  4. Global energy modeling - A biophysical approach

    Energy Technology Data Exchange (ETDEWEB)

    Dale, Michael

    2010-09-15

    This paper contrasts the standard economic approach to energy modelling with energy models using a biophysical approach. Neither of these approaches includes changing energy-returns-on-investment (EROI) due to declining resource quality or the capital intensive nature of renewable energy sources. Both of these factors will become increasingly important in the future. An extension to the biophysical approach is outlined which encompasses a dynamic EROI function that explicitly incorporates technological learning. The model is used to explore several scenarios of long-term future energy supply especially concerning the global transition to renewable energy sources in the quest for a sustainable energy system.

  5. Unified mechanical approach to piezoelectric bender modeling

    OpenAIRE

    Dunsch, Robert; Breguet, Jean-Marc

    2007-01-01

    Anewanalytical modeling approach for piezoelectric bending elements is described. The approach is based on the beam theory under quasi-static equilibrium condition. It uses the theory of superposition of piezoelectric action in the bender and external moments and forces acting on the bender. Due to the differential approach, this model is applicable to any geometrical design for which the beam theory holds. The distinction between the piezoelectric action and the external loads makes the mode...

  6. Sparse time series chain graphical models for reconstructing genetic networks

    NARCIS (Netherlands)

    Abegaz, Fentaw; Wit, Ernst

    2013-01-01

    We propose a sparse high-dimensional time series chain graphical model for reconstructing genetic networks from gene expression data parametrized by a precision matrix and autoregressive coefficient matrix. We consider the time steps as blocks or chains. The proposed approach explores patterns of co

  7. ECONOMETRIC APPROACH TO DIFFERENCE EQUATIONS MODELING OF EXCHANGE RATES CHANGES

    Directory of Open Access Journals (Sweden)

    Josip Arnerić

    2010-12-01

    Full Text Available Time series models that are commonly used in econometric modeling are autoregressive stochastic linear models (AR and models of moving averages (MA. Mentioned models by their structure are actually stochastic difference equations. Therefore, the objective of this paper is to estimate difference equations containing stochastic (random component. Estimated models of time series will be used to forecast observed data in the future. Namely, solutions of difference equations are closely related to conditions of stationary time series models. Based on the fact that volatility is time varying in high frequency data and that periods of high volatility tend to cluster, the most successful and popular models in modeling time varying volatility are GARCH type models and their variants. However, GARCH models will not be analyzed because the purpose of this research is to predict the value of the exchange rate in the levels within conditional mean equation and to determine whether the observed variable has a stable or explosive time path. Based on the estimated difference equation it will be examined whether Croatia is implementing a stable policy of exchange rates.

  8. Learning Actions Models: Qualitative Approach

    DEFF Research Database (Denmark)

    Bolander, Thomas; Gierasimczuk, Nina

    2015-01-01

    identifiability (conclusively inferring the appropriate action model in finite time) and identifiability in the limit (inconclusive convergence to the right action model). We show that deterministic actions are finitely identifiable, while non-deterministic actions require more learning power—they are...... identifiable in the limit.We then move on to a particular learning method, which proceeds via restriction of a space of events within a learning-specific action model. This way of learning closely resembles the well-known update method from dynamic epistemic logic. We introduce several different learning...... methods suited for finite identifiability of particular types of deterministic actions....

  9. Evaluating Modelling Approaches for Medical Image Annotations

    CERN Document Server

    Opitz, Jasmin; Sattler, Ulrike

    2010-01-01

    Information system designers face many challenges w.r.t. selecting appropriate semantic technologies and deciding on a modelling approach for their system. However, there is no clear methodology yet to evaluate "semantically enriched" information systems. In this paper we present a case study on different modelling approaches for annotating medical images and introduce a conceptual framework that can be used to analyse the fitness of information systems and help designers to spot the strengths and weaknesses of various modelling approaches as well as managing trade-offs between modelling effort and their potential benefits.

  10. A Unified Approach to Modeling and Programming

    DEFF Research Database (Denmark)

    Madsen, Ole Lehrmann; Møller-Pedersen, Birger

    2010-01-01

    SIMULA was a language for modeling and programming and provided a unied approach to modeling and programming in contrast to methodologies based on structured analysis and design. The current development seems to be going in the direction of separation of modeling and programming. The goal...... of this paper is to go back to the future and get inspiration from SIMULA and propose a unied approach. In addition to reintroducing the contributions of SIMULA and the Scandinavian approach to object-oriented programming, we do this by discussing a number of issues in modeling and programming and argue3 why we...

  11. Random Effects Cox Models: A Poisson Modelling Approach

    OpenAIRE

    Renjun Ma; Daniel Krewski; Burnett, Richard T.

    2000-01-01

    We propose a Poisson modelling approach to random effects Cox proportional hazards models. Specifically we describe methods of statistical inference for a class of random effects Cox models which accommodate a wide range of nested random effects distributions. The orthodox BLUP approach to random effects Poisson modeling techniques enables us to study this new class of models as a single class, rather than as a collection of unrelated models. The explicit expressions for the random effects gi...

  12. Bayesian Analysis of Dynamic Multivariate Models with Multiple Structural Breaks

    OpenAIRE

    Sugita, Katsuhiro

    2006-01-01

    This paper considers a vector autoregressive model or a vector error correction model with multiple structural breaks in any subset of parameters, using a Bayesian approach with Markov chain Monte Carlo simulation technique. The number of structural breaks is determined as a sort of model selection by the posterior odds. For a cointegrated model, cointegrating rank is also allowed to change with breaks. Bayesian approach by Strachan (Journal of Business and Economic Statistics 21 (2003) 185) ...

  13. Very-short-term wind power probabilistic forecasts by sparse vector autoregression

    DEFF Research Database (Denmark)

    Dowell, Jethro; Pinson, Pierre

    2016-01-01

    numerical advantages over conventional vector autoregressive models. The proposed method is tested on a dataset of 5 minute mean wind power generation at 22 wind farms in Australia. 5-minute-ahead forecasts are produced and evaluated in terms of point and probabilistic forecast skill scores and calibration......A spatio-temporal method for producing very-shortterm parametric probabilistic wind power forecasts at a large number of locations is presented. Smart grids containing tens, or hundreds, of wind generators require skilled very-short-term forecasts to operate effectively, and spatial information is...... highly desirable. In addition, probabilistic forecasts are widely regarded as necessary for optimal power system management as they quantify the uncertainty associated with point forecasts. Here we work within a parametric framework based on the logit-normal distribution and forecast its parameters. The...

  14. Debt Contagion in Europe: A Panel-Vector Autoregressive (VAR Analysis

    Directory of Open Access Journals (Sweden)

    Florence Bouvet

    2013-12-01

    Full Text Available The European sovereign-debt crisis began in Greece when the government announced in December, 2009, that its debt reached 121% of GDP (or 300 billion euros and its 2009 budget deficit was 12.7% of GDP, four times the level allowed by the Maastricht Treaty. The Greek crisis soon spread to other Economic and Monetary Union (EMU countries, notably Ireland, Portugal, Spain and Italy. Using quarterly data for the 2000–2011 period, we implement a panel-vector autoregressive (PVAR model for 11 EMU countries to examine the extent to which a rise in a country’s bond-yield spread or debt-to-GDP ratio affects another EMU countries’ fiscal and macroeconomic outcomes. To distinguish between interdependence and contagion among EMU countries, we compare results obtained for the pre-crisis period (2000–2007 with the crisis period (2008–2011 and control for global risk aversion.

  15. Differences of EEG between Eyes-Open and Eyes-Closed States Based on Autoregressive Method

    Institute of Scientific and Technical Information of China (English)

    Ling Li; Lei Xiao; Long Chen

    2009-01-01

    Autoregressive (AR) power spectral density estimate method was used to analyze the electroencephalogram (EEG) signals in eyes-open and eyes-closed states. From the topographical distributions of delta, theta, alpha, and beta power spectrum, these two states can be clearly discriminated. In these two states, frontal areas were activated in delta power, both frontal and occipital areas were activated in theta band, and occipital areas were activated in alpha and beta bands. These four bands had significantly higher power in frontal, parietal, and occipital areas when eyes were close. The results also implied that the optimum order of AR model could be more suitable for estimating EEG power spectrum of different states.

  16. Testing for co-integration in vector autoregressions with non-stationary volatility

    DEFF Research Database (Denmark)

    Cavaliere, Giuseppe; Rahbek, Anders Christian; Taylor, Robert M.

    2010-01-01

    Many key macroeconomic and financial variables are characterized by permanent changes in unconditional volatility. In this paper we analyse vector autoregressions with non-stationary (unconditional) volatility of a very general form, which includes single and multiple volatility breaks as special...... cases. We show that the conventional rank statistics computed as in (Johansen, 1988) and (Johansen, 1991) are potentially unreliable. In particular, their large sample distributions depend on the integrated covariation of the underlying multivariate volatility process which impacts on both the size and...... power of the associated co-integration tests, as we demonstrate numerically. A solution to the identified inference problem is provided by considering wild bootstrap-based implementations of the rank tests. These do not require the practitioner to specify a parametric model for volatility, or to assume...

  17. The impact of oil-price shocks on Hawaii's economy: A case study using vector autoregression

    International Nuclear Information System (INIS)

    The effects of oil-price shocks on the macroeconomic performance of a non-oil-producing, oil-importing state are studied in terms of Hawaii's experience (1974-1986) using Vector Autoregression (VAR). The VAR model contains three macrovariables-real oil price, interest rate, and real GNP, and three regional variable-total civilian labor force, Honolulu consumer price index, and real personal income. The results suggested that oil-price shock had a positive effect on interest rate as well as local price (i.e., higher interest and higher local price), but a negative influence on real GNP. The negative income effect, however, was offset by the positive employment effect. The price of oil was found to be exogenous to all other variables in the system. The macrovariables exerted a pronounced impact on Hawaii's economy, most notably on consumer price

  18. Network Traffic Prediction Based on Hybrid Model of Autoregressive and Neural Networking%自回归与神经网络组合的网络流量预测模型

    Institute of Scientific and Technical Information of China (English)

    陈宏; 胡宁静

    2012-01-01

    Network traffic with time-varying and nonlinear, a single prediction method is difficult to accurately describe the network flow variation, in order to improve the prediction accuracy of network traffic, put forward a kind of hybrid prediction model ( ARIMA -BPNN ). The ARIMA of network traffic prediction, and then the BPNN on network traffic prediction of nonlinear changes, and genetic algo-rithm optimization BPNN initial weights, finally, the forecasting results between BPNN input as two prediction, forecasting results by ARI-MA-BPNN. The simulation results show that, compared with ARIMA, BPNN, ARIMA-BPNN increase network traffic prediction accu-racy, in network management and has extensive application prospect.%网络流量具有时变性和非线性,单一预测方法难以准确描述网络流量变化规律,为提高网络流量预测准确率,提出一种网络流量组合预测模型(ARIMA-BPNN);首先采用ARIMA对网络流量进行预测,然后采用BPNN对网络流量非线性变化规律进行预测,且遗传算法优化BPNN初始权值,最后将两者预测结果作为BPNN输入进行二次预测,得到ARIMA- BPNN预测结果;仿真实验结果表明,相对于ARIMA、BPNN,ARIMA- BPNN提高网络流量预测精度,在网络管理中有着广泛的应用前景.

  19. Matrix model approach to cosmology

    Science.gov (United States)

    Chaney, A.; Lu, Lei; Stern, A.

    2016-03-01

    We perform a systematic search for rotationally invariant cosmological solutions to toy matrix models. These models correspond to the bosonic sector of Lorentzian Ishibashi, Kawai, Kitazawa and Tsuchiya (IKKT)-type matrix models in dimensions d less than ten, specifically d =3 and d =5 . After taking a continuum (or commutative) limit they yield d -1 dimensional Poisson manifolds. The manifolds have a Lorentzian induced metric which can be associated with closed, open, or static space-times. For d =3 , we obtain recursion relations from which it is possible to generate rotationally invariant matrix solutions which yield open universes in the continuum limit. Specific examples of matrix solutions have also been found which are associated with closed and static two-dimensional space-times in the continuum limit. The solutions provide for a resolution of cosmological singularities, at least within the context of the toy matrix models. The commutative limit reveals other desirable features, such as a solution describing a smooth transition from an initial inflation to a noninflationary era. Many of the d =3 solutions have analogues in higher dimensions. The case of d =5 , in particular, has the potential for yielding realistic four-dimensional cosmologies in the continuum limit. We find four-dimensional de Sitter d S4 or anti-de Sitter AdS4 solutions when a totally antisymmetric term is included in the matrix action. A nontrivial Poisson structure is attached to these manifolds which represents the lowest order effect of noncommutativity. For the case of AdS4 , we find one particular limit where the lowest order noncommutativity vanishes at the boundary, but not in the interior.

  20. Stochastic Modelling of Shiroro River Stream flow Process

    Directory of Open Access Journals (Sweden)

    Musa, J. J

    2013-01-01

    Full Text Available Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA. The development and use of a stochastic stream flow model involves some basic steps such as obtain stream flow record and other information, Selecting models that best describes the marginal probability distribution of flows. The flow discharge of about 22 years (1990-2011 was gotten from the Meteorological Station at Shiroro and analyzed with three different models namely; Autoregressive (AR model, Autoregressive Moving Average (ARMA model and Autoregressive Integrated Moving Average (ARIMA model. The initial model identification is done by using the autocorrelation function (ACF and partial autocorrelation function (PACF. Based on the model analysis and evaluations, proper predictions for the effective usage of the flow from the river for farming activities and generation of power for both industrial and domestic us were made. It also highlights some recommendations to be made to utilize the possible potentials of the river effectively

  1. Model Oriented Approach for Industrial Software Development

    Directory of Open Access Journals (Sweden)

    P. D. Drobintsev

    2016-01-01

    Full Text Available The article considers the specifics of a model oriented approach to software development based on the usage of Model Driven Architecture (MDA, Model Driven Software Development (MDSD and Model Driven Development (MDD technologies. Benefits of this approach usage in the software development industry are described. The main emphasis is put on the system design, automated code generation for large systems, verification, proof of system properties and reduction of bug density. Drawbacks of the approach are also considered. The approach proposed in the article is specific for industrial software systems development. These systems are characterized by different levels of abstraction, which is used on modeling and code development phases. The approach allows to detail the model to the level of the system code, at the same time store the verified model semantics and provide the checking of the whole detailed model. Steps of translating abstract data structures (including transactions, signals and their parameters into data structures used in detailed system implementation are presented. Also the grammar of a language for specifying rules of abstract model data structures transformation into real system detailed data structures is described. The results of applying the proposed method in the industrial technology are shown.The article is published in the authors’ wording.

  2. Chemogenetic approach to model hypofrontality.

    Science.gov (United States)

    Peña, Ike Dela; Shi, Wei-Xing

    2016-08-01

    Clinical evidence suggests that the prefrontal cortex (PFC) is hypofunctional in disorders including schizophrenia, drug addiction, and attention-deficit/hyperactivity disorder (ADHD). In schizophrenia, hypofrontality has been further suggested to cause both the negative and cognitive symptoms, and overactivity of dopamine neurons that project to subcortical areas. The latter may contribute to the development of positive symptoms of the disorder. Nevertheless, what causes hypofrontality and how it alters dopamine transmission in subcortical structures remain unclear due, in part, to the difficulty in modeling hypofrontality using previous techniques (e.g. PFC lesioning, focal cooling, repeated treatment with psychotomimetic drugs). We propose that the use of designer receptors exclusively activated by designer drugs (DREADDs) chemogenetic technique will allow precise interrogations of PFC functions. Combined with electrophysiological recordings, we can investigate the effects of PFC hypofunction on activity of dopamine neurons. Importantly, from a drug target discovery perspective, the use of DREADDs will enable us to examine whether chemogenetically enhancing PFC activity will reverse the behavioral abnormalities associated with PFC hypofunction and dopamine neuron overactivity, and also explore druggable targets for the treatment of schizophrenia and other disorders associated with abnormalities via modulation of the G-protein coupled receptor signaling pathway. In conclusion, the use of the DREADDs technique has several advantages over other previously employed strategies to simulate PFC hypofunction not only in terms of disease modeling but also from the viewpoint of drug target discovery. PMID:27372868

  3. Application of Autoregressive Models for Forecasting Marine Insurance Market

    OpenAIRE

    Burcã Ana-Maria; Bãtrînca Ghiorghe

    2013-01-01

    The shipping industry represents an important component of the global economy. In the context of globalization the importance of marine insurance has increased more than even before. Without insurance, ship owners would be subjected to a wide range of risks that they would not be protected from. Marine insurance facilitates global trade, ensures economic property, provides peace of mind, improves quality of life and provides social benefits. Taking in consideration all these advantages, it be...

  4. Application of spectral decomposition using regularized non-stationary autoregression to random noise attenuation

    International Nuclear Information System (INIS)

    We propose an application of spectral decomposition using regularized non-stationary autoregression (SDRNAR) to random noise attenuation. SDRNAR is a recently proposed signal-analysis method, which aims at decomposing the seismic signal into several spectral components, each of which has a smoothly variable frequency and smoothly variable amplitude. In the proposed novel denoising approach, random noise is deemed to be the residual part of decomposed spectral components because it is unpredictable. One unique property of this novel denoising approach is that the amplitude maps for different frequency components can be obtained during the denoising process, which can be valuable for some interpretation tasks. Compared with the spectral decomposition algorithm by empirical mode decomposition (EMD), SDRNAR has higher efficiency and better decomposition performance. Compared with f − x deconvolution and mean filter, the proposed denoising approach can obtain higher signal-to-noise ratio (SNR) and preserve more useful energy. The proposed approach can only be applied to seismic profiles with relatively flat events, which becomes its main limitation. However, because it is applied trace by trace, it can preserve spatial discontinuities. We use both synthetic and field data examples to demonstrate the performance of the proposed method. (paper)

  5. Conceptual approach to modeling karst development

    OpenAIRE

    Mihael Brenčič

    1995-01-01

    Karst is probably one of the most complicated hydrogeological systems at all.Its structure is complex and it changes in time. In the article conceptual approaches are described which could help establishing numerical simulation models for karst development. These approaches repose on the systems theory and the concept of the pure karst.

  6. Distributed simulation a model driven engineering approach

    CERN Document Server

    Topçu, Okan; Oğuztüzün, Halit; Yilmaz, Levent

    2016-01-01

    Backed by substantive case studies, the novel approach to software engineering for distributed simulation outlined in this text demonstrates the potent synergies between model-driven techniques, simulation, intelligent agents, and computer systems development.

  7. Ergodicity testing using an analytical formula for a dynamical functional of alpha-stable autoregressive fractionally integrated moving average processes

    Science.gov (United States)

    Loch, Hanna; Janczura, Joanna; Weron, Aleksander

    2016-04-01

    In this paper we study asymptotic behavior of a dynamical functional for an α -stable autoregressive fractionally integrated moving average (ARFIMA) process. We find an analytical formula for this important statistics and show its usefulness as a diagnostic tool for ergodic properties. The obtained results point to the very fast convergence of the dynamical functional and show that even for short trajectories one may obtain reliable conclusions on the ergodic properties of the ARFIMA process. Moreover we use the obtained theoretical results to illustrate how the dynamical functional statistics can be used in the verification of the proper model for an analysis of some biophysical experimental data.

  8. A Principal Component Approach to Measuring Investor Sentiment in China

    OpenAIRE

    Chen, Haiqiang; Chong, Terence Tai Leung; She, Yingni

    2013-01-01

    This paper develops a new investor sentiment index for the Chinese stock market. The index is constructed via the principal component approach (PCA), taking six important economic and market factors into consideration. The sentiment index serves as a threshold variable in a threshold autoregressive model to identify the stock market regimes. Our findings show that the Chinese stock market can be divided into three regimes: namely, a high-return volatile regime, a low-return stable regime and ...

  9. Modeling Approaches for Describing Microbial Population Heterogeneity

    DEFF Research Database (Denmark)

    Lencastre Fernandes, Rita

    Although microbial populations are typically described by averaged properties, individual cells present a certain degree of variability. Indeed, initially clonal microbial populations develop into heterogeneous populations, even when growing in a homogeneous environment. A heterogeneous microbial...... an extension of the proposed model framework (PBM coupled to an unstructured model) to a continuous cultivation. A compartment model approach was applied for addressing situations where two zones (compartments) are formed due to non-ideal mixing in the bioreactor. In particular, this approach was used in order...

  10. A Multivariate Approach to Functional Neuro Modeling

    DEFF Research Database (Denmark)

    Mørch, Niels J.S.

    1998-01-01

    This Ph.D. thesis, A Multivariate Approach to Functional Neuro Modeling, deals with the analysis and modeling of data from functional neuro imaging experiments. A multivariate dataset description is provided which facilitates efficient representation of typical datasets and, more importantly...... macroscopic variables to be manifestations of an underlying system. - A review of two microscopic basis selection procedures, namely principal component analysis and independent component analysis, with respect to their applicability to functional datasets. - Quantitative model performance assessment via a...

  11. Sparse Kernel Modelling: A Unified Approach

    OpenAIRE

    Chen, S.; Hong, X.; Harris, C J

    2007-01-01

    A unified approach is proposed for sparse kernel data modelling that includes regression and classification as well as probability density function estimation. The orthogonal-least-squares forward selection method based on the leave-one-out test criteria is presented within this unified data-modelling framework to construct sparse kernel models that generalise well. Examples from regression, classification and density estimation applications are used to illustrate the effectiveness of this ge...

  12. Evaluating face trustworthiness: a model based approach

    OpenAIRE

    Todorov, Alexander; Baron, Sean G.; Oosterhof, Nikolaas N.

    2008-01-01

    Judgments of trustworthiness from faces determine basic approach/avoidance responses and approximate the valence evaluation of faces that runs across multiple person judgments. Here, based on trustworthiness judgments and using a computer model for face representation, we built a model for representing face trustworthiness (study 1). Using this model, we generated novel faces with an increased range of trustworthiness and used these faces as stimuli in a functional Magnetic Resonance Imaging ...

  13. Stormwater infiltration trenches: a conceptual modelling approach.

    Science.gov (United States)

    Freni, Gabriele; Mannina, Giorgio; Viviani, Gaspare

    2009-01-01

    In recent years, limitations linked to traditional urban drainage schemes have been pointed out and new approaches are developing introducing more natural methods for retaining and/or disposing of stormwater. These mitigation measures are generally called Best Management Practices or Sustainable Urban Drainage System and they include practices such as infiltration and storage tanks in order to reduce the peak flow and retain part of the polluting components. The introduction of such practices in urban drainage systems entails an upgrade of existing modelling frameworks in order to evaluate their efficiency in mitigating the impact of urban drainage systems on receiving water bodies. While storage tank modelling approaches are quite well documented in literature, some gaps are still present about infiltration facilities mainly dependent on the complexity of the involved physical processes. In this study, a simplified conceptual modelling approach for the simulation of the infiltration trenches is presented. The model enables to assess the performance of infiltration trenches. The main goal is to develop a model that can be employed for the assessment of the mitigation efficiency of infiltration trenches in an integrated urban drainage context. Particular care was given to the simulation of infiltration structures considering the performance reduction due to clogging phenomena. The proposed model has been compared with other simplified modelling approaches and with a physically based model adopted as benchmark. The model performed better compared to other approaches considering both unclogged facilities and the effect of clogging. On the basis of a long-term simulation of six years of rain data, the performance and the effectiveness of an infiltration trench measure are assessed. The study confirmed the important role played by the clogging phenomenon on such infiltration structures. PMID:19587416

  14. Stable continuous-time autoregressive process driven by stable subordinator

    Science.gov (United States)

    Wyłomańska, Agnieszka; Gajda, Janusz

    2016-02-01

    In this paper we examine the continuous-time autoregressive moving average process driven by α-stable Lévy motion delayed by inverse stable subordinator. This process can be applied to high-frequency data with visible jumps and so-called "trapping-events". Those properties are often visible in financial time series but also in amorphous semiconductors, technical data describing the rotational speed of a machine working under various load regimes or data related to indoor air quality. We concentrate on the main characteristics of the examined subordinated process expressed in the language of the measures of dependence which are main tools used in statistical investigation of real data. However, because the analyzed system is based on the α-stable distribution therefore we cannot consider here the correlation (or covariance) as a main measure which indicates at the dependence inside the process. In the paper we examine the codifference, the more general measure of dependence defined for wide class of processes. Moreover we present the simulation procedure of the considered system and indicate how to estimate its parameters. The theoretical results we illustrate by the simulated data analysis.

  15. Polyhedral approach to statistical learning graphical models

    Czech Academy of Sciences Publication Activity Database

    Studený, Milan; Hemmecke, R.; Vomlel, Jiří; Lindner, S.

    Osaka : JST CREST, 2010. s. 1-4. [The 2nd CREST-SBM International Conference "Harmony of Groebner Bases and the Moderm Industrial Socienty". 28.06.2010-02.07.2010, Hotel Hankyu Expo Park, Osaka] Institutional research plan: CEZ:AV0Z10750506 Keywords : Bayesian network * polyhedral approach * imset Subject RIV: BA - General Mathematics http://library.utia.cas.cz/separaty/2010/MTR/studeny-polyhedral approach to statistical learning graphical models.pdf

  16. Bayesian analysis of autoregressive panel data model: application in genetic evaluation of beef cattle Análise Bayesiana do modelo auto-regressivo para dados em painel: aplicação na avaliação genética de bovinos de corte

    Directory of Open Access Journals (Sweden)

    Fabyano Fonseca e Silva

    2011-04-01

    Full Text Available The animal breeding values forecasting at futures times is a relevant technological innovation in the field of Animal Science, since its enables a previous indication of animals that will be either kept by the producer for breeding purposes or discarded. This study discusses an MCMC Bayesian methodology applied to panel data in a time series context. We consider Bayesian analysis of an autoregressive, AR(p, panel data model of order p, using an exact likelihood function, comparative analysis of prior distributions and predictive distributions of future observations. The methodology was tested by a simulation study using three priors: hierarchical Multivariate Normal-Inverse Gamma (model 1, independent Multivariate Student's t Inverse Gamma (model 2 and Jeffrey's (model 3. Comparisons by Pseudo-Bayes Factor favored model 2. The proposed methodology was applied to longitudinal data relative to Expected Progeny Difference (EPD of beef cattle sires. The forecast efficiency was around 80%. Regarding the mean width of the EPD interval estimation (95% in a future time, a great advantage was observed for the proposed Bayesian methodology over usual asymptotic frequentist method.A previsão dos valores genéticos de animais em tempos futuros constitui importante inovação tecnológica para a área de Zootecnia, uma vez que possibilita planejar com antecedência o descarte ou a manutenção de animais no rebanho. No presente estudo considerou-se uma análise Bayesiana de modelos auto-regressivos de ordem p, AR(p, para dados em painel, de forma a utilizar a função de verossimilhança exata, a análise de comparação de distribuições a priori e a obtenção de distribuições preditivas de dados futuros. A metodologia utilizada foi testada mediante um estudo de simulação usando a priori hierárquica Normal multivariada-Gama inversa (modelo 1, a priori independente t-Student Gama inversa (modelo 2 e a priori de Jeffreys (modelo 3. As compara

  17. Building Water Models, A Different Approach

    CERN Document Server

    Izadi, Saeed; Onufriev, Alexey V

    2014-01-01

    Simplified, classical models of water are an integral part of atomistic molecular simulations, especially in biology and chemistry where hydration effects are critical. Yet, despite several decades of effort, these models are still far from perfect. Presented here is an alternative approach to constructing point charge water models - currently, the most commonly used type. In contrast to the conventional approach, we do not impose any geometry constraints on the model other than symmetry. Instead, we optimize the distribution of point charges to best describe the "electrostatics" of the water molecule, which is key to many unusual properties of liquid water. The search for the optimal charge distribution is performed in 2D parameter space of key lowest multipole moments of the model, to find best fit to a small set of bulk water properties at room temperature. A virtually exhaustive search is enabled via analytical equations that relate the charge distribution to the multipole moments. The resulting "optimal"...

  18. 应用阶数自学习自回归隐马尔可夫模型对控制过程异常数据的在线检测%On-line detection of outliers in control process data based on autoregressive hidden Markov model with order self-learning

    Institute of Scientific and Technical Information of China (English)

    刘芳; 毛志忠

    2011-01-01

    针对过程工业中强噪声环境下实时采集的控制过程海量数据难以在线精确检测的问题,提出了基于阶数自学习自回归隐马尔可夫模型(ARHMM)的工业控制过程异常数据在线检测方法.该算法采用自同归(AR)模型对时间序列进行拟合,利用隐马尔科夫模型(HMM)作为数据检测的工具,避免了传统检测方法中需要预先设定检测阈值的问题,并将传统的BDT(Brockwell-Dahlhaus-Trindade)算法改进成为对于时间和阶数均实施迭代的双重迭代结构,以实现ARHMM参数在线更新.为了减小异常数据对ARHMM参数更新的影响,本文采用先检测后更新的方式,根据检测结果采取不同的更新方法,提高了该算法的鲁棒性.模型数据仿真与应用试验结果证明,该算法具有较高的检测精度和抗干扰能力,同时具备在线检测的能力.通过与传统基于AR模型的异常数据检测方法比较,证明了该方法更适合作为过程工业控制过程数据的异常检测工具.%For the accurate online detection and collection of massive real-time data of a control process in strong noise environment, we propose an autoregressive hidden Markov model (AJRHMM) algorithm with order self-learning. This algorithm employs an AR model to fit the time series and makes use of the hidden Markov model as the basic detection tool for avoiding the deficiency in presetting the threshold in traditional detection methods. In order to update the parameters of ARHMM online, we adopt the improved traditional BDT(Brockwell-Dahlhaus-Trindade) algorithm with double iterative structures, in which the iterative calculations are performed respectively for both time and order. To reduce the influence of outlier on parameter updating in ARHMM, we adopt the strategy of detection-before-update, and select the method for updating based on the detection results. This strategy improves the robustness of the algorithm. Simulation with emulation data and

  19. Priors from DSGE models for dynamic factor analysis

    OpenAIRE

    Bäurle, Gregor

    2008-01-01

    We propose a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in the model are rotated such that they can be interpreted as variables from a DSGE model. In contrast to standard Dynamic Factor Analysis, a direct economic interpretation of the factors is given. We evalu...

  20. Semantic Approach for Service Oriented Requirements Modeling

    OpenAIRE

    Zhao, Bin; Cai, Guang-Jun; Jin, Zhi

    2010-01-01

    International audience Services computing is an interdisciplinary subject that devotes to bridging the gap between business services and IT services. It is recognized that Requirements Engineering is fundamental in implementing the service oriented architecture. It takes traditional RE techniques great efforts to model business requirements and search for the appropriate services. In this paper, we propose an ontological approach to facilitate the service-oriented modeling framework. The g...

  1. "Credit Risk Modeling Approaches"(in Japanese)

    OpenAIRE

    Takao Kobayashi

    2003-01-01

    This article originates from a speech given by the author in the seminar organized by the Security Analysts Association of Japan (SAAJ) on September fifth of 2003 to commemorate the founding of the Certified International Investment Analyst (CIIA) qualification. In the first half, I give a fairly comprehensive, non-quantitative summary of the recent developments of credit risk modeling approaches and techniques. In the latter half, I illustrate a new convertible-bond (CB) pricing model that w...

  2. A flexible approach to guideline modeling.

    OpenAIRE

    Tu, S. W.; Musen, M. A.

    1999-01-01

    We describe a task-oriented approach to guideline modeling that we have been developing in the EON project. We argue that guidelines seek to change behaviors by making statements involving some or all of the following tasks: (1) setting of goals or constraints, (2) making decisions among alternatives, (3) sequencing and synchronization of actions, and (4) interpreting data. Statements about these tasks make assumptions about models of time and of data abstractions, and about degree of uncerta...

  3. A Stochastic Approach to Noise Modeling for Barometric Altimeters

    Directory of Open Access Journals (Sweden)

    Angelo Maria Sabatini

    2013-11-01

    Full Text Available The question whether barometric altimeters can be applied to accurately track human motions is still debated, since their measurement performance are rather poor due to either coarse resolution or drifting behavior problems. As a step toward accurate short-time tracking of changes in height (up to few minutes, we develop a stochastic model that attempts to capture some statistical properties of the barometric altimeter noise. The barometric altimeter noise is decomposed in three components with different physical origin and properties: a deterministic time-varying mean, mainly correlated with global environment changes, and a first-order Gauss-Markov (GM random process, mainly accounting for short-term, local environment changes, the effects of which are prominent, respectively, for long-time and short-time motion tracking; an uncorrelated random process, mainly due to wideband electronic noise, including quantization noise. Autoregressive-moving average (ARMA system identification techniques are used to capture the correlation structure of the piecewise stationary GM component, and to estimate its standard deviation, together with the standard deviation of the uncorrelated component. M-point moving average filters used alone or in combination with whitening filters learnt from ARMA model parameters are further tested in few dynamic motion experiments and discussed for their capability of short-time tracking small-amplitude, low-frequency motions.

  4. Towards a Multiscale Approach to Cybersecurity Modeling

    Energy Technology Data Exchange (ETDEWEB)

    Hogan, Emilie A.; Hui, Peter SY; Choudhury, Sutanay; Halappanavar, Mahantesh; Oler, Kiri J.; Joslyn, Cliff A.

    2013-11-12

    We propose a multiscale approach to modeling cyber networks, with the goal of capturing a view of the network and overall situational awareness with respect to a few key properties--- connectivity, distance, and centrality--- for a system under an active attack. We focus on theoretical and algorithmic foundations of multiscale graphs, coming from an algorithmic perspective, with the goal of modeling cyber system defense as a specific use case scenario. We first define a notion of \\emph{multiscale} graphs, in contrast with their well-studied single-scale counterparts. We develop multiscale analogs of paths and distance metrics. As a simple, motivating example of a common metric, we present a multiscale analog of the all-pairs shortest-path problem, along with a multiscale analog of a well-known algorithm which solves it. From a cyber defense perspective, this metric might be used to model the distance from an attacker's position in the network to a sensitive machine. In addition, we investigate probabilistic models of connectivity. These models exploit the hierarchy to quantify the likelihood that sensitive targets might be reachable from compromised nodes. We believe that our novel multiscale approach to modeling cyber-physical systems will advance several aspects of cyber defense, specifically allowing for a more efficient and agile approach to defending these systems.

  5. A Multiple Model Approach to Modeling Based on LPF Algorithm

    Institute of Scientific and Technical Information of China (English)

    2001-01-01

    Input-output data fitting methods are often used for unknown-structure nonlinear system modeling. Based on model-on-demand tactics, a multiple model approach to modeling for nonlinear systems is presented. The basic idea is to find out, from vast historical system input-output data sets, some data sets matching with the current working point, then to develop a local model using Local Polynomial Fitting (LPF) algorithm. With the change of working points, multiple local models are built, which realize the exact modeling for the global system. By comparing to other methods, the simulation results show good performance for its simple, effective and reliable estimation.``

  6. A Conceptual Modeling Approach for OLAP Personalization

    Science.gov (United States)

    Garrigós, Irene; Pardillo, Jesús; Mazón, Jose-Norberto; Trujillo, Juan

    Data warehouses rely on multidimensional models in order to provide decision makers with appropriate structures to intuitively analyze data with OLAP technologies. However, data warehouses may be potentially large and multidimensional structures become increasingly complex to be understood at a glance. Even if a departmental data warehouse (also known as data mart) is used, these structures would be also too complex. As a consequence, acquiring the required information is more costly than expected and decision makers using OLAP tools may get frustrated. In this context, current approaches for data warehouse design are focused on deriving a unique OLAP schema for all analysts from their previously stated information requirements, which is not enough to lighten the complexity of the decision making process. To overcome this drawback, we argue for personalizing multidimensional models for OLAP technologies according to the continuously changing user characteristics, context, requirements and behaviour. In this paper, we present a novel approach to personalizing OLAP systems at the conceptual level based on the underlying multidimensional model of the data warehouse, a user model and a set of personalization rules. The great advantage of our approach is that a personalized OLAP schema is provided for each decision maker contributing to better satisfy their specific analysis needs. Finally, we show the applicability of our approach through a sample scenario based on our CASE tool for data warehouse development.

  7. Compartmental Model Approaches to Groundwater Flow Simulation

    International Nuclear Information System (INIS)

    Compartmental or mixing-cell models have been applied to groundwater flow systems by a number of investigators. Note that the expressions 'compartment', 'cell' and 'mixing cell' are synonymous and used interchangeably in this paper. The compartmental model represents the groundwater system as a network of interconnected cells or compartments through which water and one or more dissolved constituents (tracers) are transported. Within a given cell, perfect or complete mixing of the tracer occurs, although some models relax this constraint. Flow rates of water and tracer between cells can be calculated by: 1) use of a flow model that solves the partial differential equations of groundwater flow 2) calibration with observed tracer data 3) a flow algorithm based on linear or non-linear reservoir theory, or 4) some combination of the preceding. Each cell in the model depicts a region of the hydrogeological system; regions are differentiated based upon their hydrogeological uniformity, the availability of data, the degree of resolution desired, and constraints imposed by numerical solutions. Compartmental models have been used to solve the inverse problem (estimating aquifer properties and recharge boundary conditions) (Adar and Neuman 1986; 1988; Adar et al. 1988; Adar and Sorek 1989; 1990). Other applications have sought to determine groundwater ages and residence times (Campana 1975; 1987; Campana and Simpson 1984; Campana and Mahin 1985; Kirk and Campana 1990), or analyze tracer data and delineate groundwater dynamics (Yurtsever and Payne 1978; 1985; 1986). Other investigators have used them as transport models (Van Ommen 1985; Rao and Hathaway 1989). A recent pioneering approach uses a compartmental model to constrain a finite-difference regional groundwater flow model (Harrington et al. 1999). The three compartmental models described herein represent different approaches and levels of sophistication. The first, a relatively simple model by Campana, is calibrated

  8. Multidimensional boron transport modeling in subchannel approach

    International Nuclear Information System (INIS)

    The main objective of this study is to implement a solute tracking model into the subchannel code CTF for simulations of boric acid transients. Previously, three different boron tracking models have been implemented into CTF and based on the applied analytical and nodal sensitivity studies the Modified Godunov Scheme approach with a physical diffusion term has been selected as the most accurate and best estimate solution. This paper will present the implementation of a multidimensional boron transport modeling with Modified Godunov Scheme within a thermal-hydraulic code based on a subchannel approach. Based on the cross flow mechanism in a multiple-subchannel rod bundle geometry, heat transfer and lateral pressure drop effects will be discussed in deboration and boration case studies. (author)

  9. Heat transfer modeling an inductive approach

    CERN Document Server

    Sidebotham, George

    2015-01-01

    This innovative text emphasizes a "less-is-more" approach to modeling complicated systems such as heat transfer by treating them first as "1-node lumped models" that yield simple closed-form solutions. The author develops numerical techniques for students to obtain more detail, but also trains them to use the techniques only when simpler approaches fail. Covering all essential methods offered in traditional texts, but with a different order, Professor Sidebotham stresses inductive thinking and problem solving as well as a constructive understanding of modern, computer-based practice. Readers learn to develop their own code in the context of the material, rather than just how to use packaged software, offering a deeper, intrinsic grasp behind models of heat transfer. Developed from over twenty-five years of lecture notes to teach students of mechanical and chemical engineering at The Cooper Union for the Advancement of Science and Art, the book is ideal for students and practitioners across engineering discipl...

  10. A multilevel nonlinear mixed-effects approach to model growth in pigs

    DEFF Research Database (Denmark)

    Strathe, Anders Bjerring; Danfær, Allan Christian; Sørensen, H.;

    2010-01-01

    Growth functions have been used to predict market weight of pigs and maximize return over feed costs. This study was undertaken to compare 4 growth functions and methods of analyzing data, particularly one that considers nonlinear repeated measures. Data were collected from an experiment with 40...... pigs maintained from birth to maturity and their BW measured weekly or every 2 wk up to 1,007 d. Gompertz, logistic, Bridges, and Lopez functions were fitted to the data and compared using information criteria. For each function, a multilevel nonlinear mixed effects model was employed because it....... Furthermore, studies should consider adding continuous autoregressive process when analyzing nonlinear mixed models with repeated measures....

  11. A hybrid modeling approach for option pricing

    Science.gov (United States)

    Hajizadeh, Ehsan; Seifi, Abbas

    2011-11-01

    The complexity of option pricing has led many researchers to develop sophisticated models for such purposes. The commonly used Black-Scholes model suffers from a number of limitations. One of these limitations is the assumption that the underlying probability distribution is lognormal and this is so controversial. We propose a couple of hybrid models to reduce these limitations and enhance the ability of option pricing. The key input to option pricing model is volatility. In this paper, we use three popular GARCH type model for estimating volatility. Then, we develop two non-parametric models based on neural networks and neuro-fuzzy networks to price call options for S&P 500 index. We compare the results with those of Black-Scholes model and show that both neural network and neuro-fuzzy network models outperform Black-Scholes model. Furthermore, comparing the neural network and neuro-fuzzy approaches, we observe that for at-the-money options, neural network model performs better and for both in-the-money and an out-of-the money option, neuro-fuzzy model provides better results.

  12. A subgrid based approach for morphodynamic modelling

    Science.gov (United States)

    Volp, N. D.; van Prooijen, B. C.; Pietrzak, J. D.; Stelling, G. S.

    2016-07-01

    To improve the accuracy and the efficiency of morphodynamic simulations, we present a subgrid based approach for a morphodynamic model. This approach is well suited for areas characterized by sub-critical flow, like in estuaries, coastal areas and in low land rivers. This new method uses a different grid resolution to compute the hydrodynamics and the morphodynamics. The hydrodynamic computations are carried out with a subgrid based, two-dimensional, depth-averaged model. This model uses a coarse computational grid in combination with a subgrid. The subgrid contains high resolution bathymetry and roughness information to compute volumes, friction and advection. The morphodynamic computations are carried out entirely on a high resolution grid, the bed grid. It is key to find a link between the information defined on the different grids in order to guaranty the feedback between the hydrodynamics and the morphodynamics. This link is made by using a new physics-based interpolation method. The method interpolates water levels and velocities from the coarse grid to the high resolution bed grid. The morphodynamic solution improves significantly when using the subgrid based method compared to a full coarse grid approach. The Exner equation is discretised with an upwind method based on the direction of the bed celerity. This ensures a stable solution for the Exner equation. By means of three examples, it is shown that the subgrid based approach offers a significant improvement at a minimal computational cost.

  13. A multiscale modeling approach for biomolecular systems

    Energy Technology Data Exchange (ETDEWEB)

    Bowling, Alan, E-mail: bowling@uta.edu; Haghshenas-Jaryani, Mahdi, E-mail: mahdi.haghshenasjaryani@mavs.uta.edu [The University of Texas at Arlington, Department of Mechanical and Aerospace Engineering (United States)

    2015-04-15

    This paper presents a new multiscale molecular dynamic model for investigating the effects of external interactions, such as contact and impact, during stepping and docking of motor proteins and other biomolecular systems. The model retains the mass properties ensuring that the result satisfies Newton’s second law. This idea is presented using a simple particle model to facilitate discussion of the rigid body model; however, the particle model does provide insights into particle dynamics at the nanoscale. The resulting three-dimensional model predicts a significant decrease in the effect of the random forces associated with Brownian motion. This conclusion runs contrary to the widely accepted notion that the motor protein’s movements are primarily the result of thermal effects. This work focuses on the mechanical aspects of protein locomotion; the effect ATP hydrolysis is estimated as internal forces acting on the mechanical model. In addition, the proposed model can be numerically integrated in a reasonable amount of time. Herein, the differences between the motion predicted by the old and new modeling approaches are compared using a simplified model of myosin V.

  14. Autoregressive harmonic analysis of the earth's polar motion using homogeneous International Latitude Service data

    Science.gov (United States)

    Chao, B. F.

    1983-01-01

    The homogeneous set of 80-year-long (1900-1979) International Latitude Service (ILS) polar motion data is analyzed using the autoregressive method (Chao and Gilbert, 1980), which resolves and produces estimates for the complex frequency (or frequency and Q) and complex amplitude (or amplitude and phase) of each harmonic component in the data. The ILS data support the multiple-component hypothesis of the Chandler wobble. It is found that the Chandler wobble can be adequately modeled as a linear combination of four (coherent) harmonic components, each of which represents a steady, nearly circular, prograde motion. The four-component Chandler wobble model 'explains' the apparent phase reversal during 1920-1940 and the pre-1950 empirical period-amplitude relation. The annual wobble is shown to be rather stationary over the years both in amplitude and in phase, and no evidence is found to support the large variations reported by earlier investigations. The Markowitz wobble is found to be marginally retrograde and appears to have a complicated behavior which cannot be resolved because of the shortness of the data set.

  15. An integrated approach for real-time model-based state-of-charge estimation of lithium-ion batteries

    Science.gov (United States)

    Zhang, Cheng; Li, Kang; Pei, Lei; Zhu, Chunbo

    2015-06-01

    Lithium-ion batteries have been widely adopted in electric vehicles (EVs), and accurate state of charge (SOC) estimation is of paramount importance for the EV battery management system. Though a number of methods have been proposed, the SOC estimation for Lithium-ion batteries, such as LiFePo4 battery, however, faces two key challenges: the flat open circuit voltage (OCV) vs SOC relationship for some SOC ranges and the hysteresis effect. To address these problems, an integrated approach for real-time model-based SOC estimation of Lithium-ion batteries is proposed in this paper. Firstly, an auto-regression model is adopted to reproduce the battery terminal behaviour, combined with a non-linear complementary model to capture the hysteresis effect. The model parameters, including linear parameters and non-linear parameters, are optimized off-line using a hybrid optimization method that combines a meta-heuristic method (i.e., the teaching learning based optimization method) and the least square method. Secondly, using the trained model, two real-time model-based SOC estimation methods are presented, one based on the real-time battery OCV regression model achieved through weighted recursive least square method, and the other based on the state estimation using the extended Kalman filter method (EKF). To tackle the problem caused by the flat OCV-vs-SOC segments when the OCV-based SOC estimation method is adopted, a method combining the coulombic counting and the OCV-based method is proposed. Finally, modelling results and SOC estimation results are presented and analysed using the data collected from LiFePo4 battery cell. The results confirmed the effectiveness of the proposed approach, in particular the joint-EKF method.

  16. Scientific Theories, Models and the Semantic Approach

    Directory of Open Access Journals (Sweden)

    Décio Krause

    2007-12-01

    Full Text Available According to the semantic view, a theory is characterized by a class of models. In this paper, we examine critically some of the assumptions that underlie this approach. First, we recall that models are models of something. Thus we cannot leave completely aside the axiomatization of the theories under consideration, nor can we ignore the metamathematics used to elaborate these models, for changes in the metamathematics often impose restrictions on the resulting models. Second, based on a parallel between van Fraassen’s modal interpretation of quantum mechanics and Skolem’s relativism regarding set-theoretic concepts, we introduce a distinction between relative and absolute concepts in the context of the models of a scientific theory. And we discuss the significance of that distinction. Finally, by focusing on contemporary particle physics, we raise the question: since there is no general accepted unification of the parts of the standard model (namely, QED and QCD, we have no theory, in the usual sense of the term. This poses a difficulty: if there is no theory, how can we speak of its models? What are the latter models of? We conclude by noting that it is unclear that the semantic view can be applied to contemporary physical theories.

  17. Computational modeling approaches in gonadotropin signaling.

    Science.gov (United States)

    Ayoub, Mohammed Akli; Yvinec, Romain; Crépieux, Pascale; Poupon, Anne

    2016-07-01

    Follicle-stimulating hormone and LH play essential roles in animal reproduction. They exert their function through binding to their cognate receptors, which belong to the large family of G protein-coupled receptors. This recognition at the plasma membrane triggers a plethora of cellular events, whose processing and integration ultimately lead to an adapted biological response. Understanding the nature and the kinetics of these events is essential for innovative approaches in drug discovery. The study and manipulation of such complex systems requires the use of computational modeling approaches combined with robust in vitro functional assays for calibration and validation. Modeling brings a detailed understanding of the system and can also be used to understand why existing drugs do not work as well as expected, and how to design more efficient ones. PMID:27165991

  18. Holographic approach to a minimal higgsless model

    International Nuclear Information System (INIS)

    Following holographic approach, we carry out a low energy effective study of a minimal higgsless model based on SU(2) bulk symmetry broken by boundary conditions, both in flat and warped metric. The holographic procedure turns out to be an useful computation technique to achieve an effective four dimensional formulation of the model taking into account the corrections coming from the extra dimensional sector. This technique is used to compute both oblique and direct contributions to the electroweak parameters in presence of fermions delocalized along the fifth dimension

  19. Continuum modeling an approach through practical examples

    CERN Document Server

    Muntean, Adrian

    2015-01-01

    This book develops continuum modeling skills and approaches the topic from three sides: (1) derivation of global integral laws together with the associated local differential equations, (2) design of constitutive laws and (3) modeling boundary processes. The focus of this presentation lies on many practical examples covering aspects such as coupled flow, diffusion and reaction in porous media or microwave heating of a pizza, as well as traffic issues in bacterial colonies and energy harvesting from geothermal wells. The target audience comprises primarily graduate students in pure and applied mathematics as well as working practitioners in engineering who are faced by nonstandard rheological topics like those typically arising in the food industry.

  20. Interfacial Fluid Mechanics A Mathematical Modeling Approach

    CERN Document Server

    Ajaev, Vladimir S

    2012-01-01

    Interfacial Fluid Mechanics: A Mathematical Modeling Approach provides an introduction to mathematical models of viscous flow used in rapidly developing fields of microfluidics and microscale heat transfer. The basic physical effects are first introduced in the context of simple configurations and their relative importance in typical microscale applications is discussed. Then,several configurations of importance to microfluidics, most notably thin films/droplets on substrates and confined bubbles, are discussed in detail.  Topics from current research on electrokinetic phenomena, liquid flow near structured solid surfaces, evaporation/condensation, and surfactant phenomena are discussed in the later chapters. This book also:  Discusses mathematical models in the context of actual applications such as electrowetting Includes unique material on fluid flow near structured surfaces and phase change phenomena Shows readers how to solve modeling problems related to microscale multiphase flows Interfacial Fluid Me...

  1. Exact Approach to Inflationary Universe Models

    Science.gov (United States)

    del Campo, Sergio

    In this chapter we introduce a study of inflationary universe models that are characterized by a single scalar inflation field . The study of these models is based on two dynamical equations: one corresponding to the Klein-Gordon equation for the inflaton field and the other to a generalized Friedmann equation. After describing the kinematics and dynamics of the models under the Hamilton-Jacobi scheme, we determine in some detail scalar density perturbations and relic gravitational waves. We also introduce the study of inflation under the hierarchy of the slow-roll parameters together with the flow equations. We apply this approach to the modified Friedmann equation that we call the Friedmann-Chern-Simons equation, characterized by F(H) = H^2- α H4, and the brane-world inflationary models expressed by the modified Friedmann equation.

  2. Global Environmental Change: An integrated modelling approach

    International Nuclear Information System (INIS)

    Two major global environmental problems are dealt with: climate change and stratospheric ozone depletion (and their mutual interactions), briefly surveyed in part 1. In Part 2 a brief description of the integrated modelling framework IMAGE 1.6 is given. Some specific parts of the model are described in more detail in other Chapters, e.g. the carbon cycle model, the atmospheric chemistry model, the halocarbon model, and the UV-B impact model. In Part 3 an uncertainty analysis of climate change and stratospheric ozone depletion is presented (Chapter 4). Chapter 5 briefly reviews the social and economic uncertainties implied by future greenhouse gas emissions. Chapters 6 and 7 describe a model and sensitivity analysis pertaining to the scientific uncertainties and/or lacunae in the sources and sinks of methane and carbon dioxide, and their biogeochemical feedback processes. Chapter 8 presents an uncertainty and sensitivity analysis of the carbon cycle model, the halocarbon model, and the IMAGE model 1.6 as a whole. Part 4 presents the risk assessment methodology as applied to the problems of climate change and stratospheric ozone depletion more specifically. In Chapter 10, this methodology is used as a means with which to asses current ozone policy and a wide range of halocarbon policies. Chapter 11 presents and evaluates the simulated globally-averaged temperature and sea level rise (indicators) for the IPCC-1990 and 1992 scenarios, concluding with a Low Risk scenario, which would meet the climate targets. Chapter 12 discusses the impact of sea level rise on the frequency of the Dutch coastal defence system (indicator) for the IPCC-1990 scenarios. Chapter 13 presents projections of mortality rates due to stratospheric ozone depletion based on model simulations employing the UV-B chain model for a number of halocarbon policies. Chapter 14 presents an approach for allocating future emissions of CO2 among regions. (Abstract Truncated)

  3. Evolutionary modeling-based approach for model errors correction

    Directory of Open Access Journals (Sweden)

    S. Q. Wan

    2012-08-01

    Full Text Available The inverse problem of using the information of historical data to estimate model errors is one of the science frontier research topics. In this study, we investigate such a problem using the classic Lorenz (1963 equation as a prediction model and the Lorenz equation with a periodic evolutionary function as an accurate representation of reality to generate "observational data."

    On the basis of the intelligent features of evolutionary modeling (EM, including self-organization, self-adaptive and self-learning, the dynamic information contained in the historical data can be identified and extracted by computer automatically. Thereby, a new approach is proposed to estimate model errors based on EM in the present paper. Numerical tests demonstrate the ability of the new approach to correct model structural errors. In fact, it can actualize the combination of the statistics and dynamics to certain extent.

  4. Intra- and interseasonal autoregressive prediction of dengue outbreaks using local weather and regional climate for a tropical environment in Colombia.

    Science.gov (United States)

    Eastin, Matthew D; Delmelle, Eric; Casas, Irene; Wexler, Joshua; Self, Cameron

    2014-09-01

    Dengue fever transmission results from complex interactions between the virus, human hosts, and mosquito vectors-all of which are influenced by environmental factors. Predictive models of dengue incidence rate, based on local weather and regional climate parameters, could benefit disease mitigation efforts. Time series of epidemiological and meteorological data for the urban environment of Cali, Colombia are analyzed from January of 2000 to December of 2011. Significant dengue outbreaks generally occur during warm-dry periods with extreme daily temperatures confined between 18°C and 32°C--the optimal range for mosquito survival and viral transmission. Two environment-based, multivariate, autoregressive forecast models are developed that allow dengue outbreaks to be anticipated from 2 weeks to 6 months in advance. These models have the potential to enhance existing dengue early warning systems, ultimately supporting public health decisions on the timing and scale of vector control efforts. PMID:24957546

  5. Price transmission for agricultural commodities in Uganda: An empirical vector autoregressive analysis

    DEFF Research Database (Denmark)

    Lassen Kaspersen, Line; Føyn, Tullik Helene Ystanes

    This paper investigates price transmission for agricultural commodities between world markets and the Ugandan market in an attempt to determine the impact of world market prices on the Ugandan market. Based on the realization that price formation is not a static concept, a dynamic vector autoregr...... thus indicates that rising food prices (of little-traded crops) on world markets will not have a direct effect on food prices in Uganda.......This paper investigates price transmission for agricultural commodities between world markets and the Ugandan market in an attempt to determine the impact of world market prices on the Ugandan market. Based on the realization that price formation is not a static concept, a dynamic vector...... autoregressive (VAR) model is presented. The prices of Robusta coffee and sorghum are examined, as both of these crops are important for the domestic economy of Uganda – Robusta as a cash crop, mainly traded internationally, and sorghum for consumption at household level. The analysis focuses on the spatial...

  6. Regularization of turbulence - a comprehensive modeling approach

    International Nuclear Information System (INIS)

    Turbulence readily arises in numerous flows in nature and technology. The large number of degrees of freedom of turbulence poses serious challenges to numerical approaches aimed at simulating and controlling such flows. While the Navier-Stokes equations are commonly accepted to precisely describe fluid turbulence, alternative coarsened descriptions need to be developed to cope with the wide range of length and time scales. These coarsened descriptions are known as large-eddy simulations in which one aims to capture only the primary features of a flow, at considerably reduced computational effort. Such coarsening introduces a closure problem that requires additional phenomenological modeling. A systematic approach to the closure problem, know as regularization modeling, will be reviewed. Its application to multiphase turbulent will be illustrated in which a basic regularization principle is enforced to physically consistently approximate momentum and scalar transport. Examples of Leray and LANS-alpha regularization are discussed in some detail, as are compatible numerical strategies. We illustrate regularization modeling to turbulence under the influence of rotation and buoyancy and investigate the accuracy with which particle-laden flow can be represented. A discussion of the numerical and modeling errors incurred will be given on the basis of homogeneous isotropic turbulence.

  7. Dissecting Two Approaches to Energy Prices

    Directory of Open Access Journals (Sweden)

    Julius N. Esunge

    2011-01-01

    Full Text Available Problem statement: This research tested the viability of Geometric Brownian Motion as a stochastic model of oil prices. Approach: Using autoregressions and unit root tests, we determined that oil prices tend not to exhibit the Markov Property and thus GBM may be a problematic model. Results: Instead, oil prices seem to be mean reverting over the long run, possibly following an Ornstein-Uhlenbeck process. Conclusion/Recommendations: To determine whether or not OPEC was the cause of mean reversion, we repeated the tests after controlling for quotas, only to find the same results did not apply over the short run.

  8. Kinetic approach in magnetospheric plasma transport modeling

    International Nuclear Information System (INIS)

    The need for a kinetic approach in magnetospheric plasma transport problems is reviewed, as are the trends in its recent applications. The need for kinetic modeling is particularly obvious when confronted with the astonishing variety of magnetospheric particle measurements that display compelling energy and pitch angle-related spatial and/or temporal dispersion, and various types of highly non-Maxwellian features in the distribution functions. Global problems in which the kinetic approach has recently been applied include solar wind plasma injection and dispersion over the cusp, substorm particle injection near synchronous orbit, synergistic energization of ionospheric ions into ring current populations by waves and induced electric field-driven convection, and ionospheric outflow from restricted source regions into the magnetosphere. Kinetic modeling can include efforts ranging from test-particle techniques to particle-in-cell studies, and this range is considered here. There are some areas where fluid and kinetic approaches have been combined or patched together, and these will be briefly discussed. 131 references

  9. Merging Digital Surface Models Implementing Bayesian Approaches

    Science.gov (United States)

    Sadeq, H.; Drummond, J.; Li, Z.

    2016-06-01

    In this research different DSMs from different sources have been merged. The merging is based on a probabilistic model using a Bayesian Approach. The implemented data have been sourced from very high resolution satellite imagery sensors (e.g. WorldView-1 and Pleiades). It is deemed preferable to use a Bayesian Approach when the data obtained from the sensors are limited and it is difficult to obtain many measurements or it would be very costly, thus the problem of the lack of data can be solved by introducing a priori estimations of data. To infer the prior data, it is assumed that the roofs of the buildings are specified as smooth, and for that purpose local entropy has been implemented. In addition to the a priori estimations, GNSS RTK measurements have been collected in the field which are used as check points to assess the quality of the DSMs and to validate the merging result. The model has been applied in the West-End of Glasgow containing different kinds of buildings, such as flat roofed and hipped roofed buildings. Both quantitative and qualitative methods have been employed to validate the merged DSM. The validation results have shown that the model was successfully able to improve the quality of the DSMs and improving some characteristics such as the roof surfaces, which consequently led to better representations. In addition to that, the developed model has been compared with the well established Maximum Likelihood model and showed similar quantitative statistical results and better qualitative results. Although the proposed model has been applied on DSMs that were derived from satellite imagery, it can be applied to any other sourced DSMs.

  10. A contextual modeling approach for model-based recommender systems

    OpenAIRE

    Fernández-Tobías, Ignacio; Campos Soto, Pedro G.; Cantador, Iván; Díez, Fernando

    2013-01-01

    The final publication is available at Springer via http://dx.doi.org/10.1007/978-3-642-40643-0_5 Proceedings of 15th Conference of the Spanish Association for Artificial Intelligence, CAEPIA 2013, Madrid, Spain, September 17-20, 2013. In this paper we present a contextual modeling approach for model-based recommender systems that integrates and exploits both user preferences and contextual signals in a common vector space. Differently to previous work, we conduct a user study acquiring ...

  11. A new approach for Bayesian model averaging

    Institute of Scientific and Technical Information of China (English)

    TIAN XiangJun; XIE ZhengHui; WANG AiHui; YANG XiaoChun

    2012-01-01

    Bayesian model averaging (BMA) is a recently proposed statistical method for calibrating forecast ensembles from numerical weather models.However,successful implementation of BMA requires accurate estimates of the weights and variances of the individual competing models in the ensemble.Two methods,namely the Expectation-Maximization (EM) and the Markov Chain Monte Carlo (MCMC) algorithms,are widely used for BMA model training.Both methods have their own respective strengths and weaknesses.In this paper,we first modify the BMA log-likelihood function with the aim of removing the additional limitation that requires that the BMA weights add to one,and then use a limited memory quasi-Newtonian algorithm for solving the nonlinear optimization problem,thereby formulating a new approach for BMA (referred to as BMA-BFGS).Several groups of multi-model soil moisture simulation experiments from three land surface models show that the performance of BMA-BFGS is similar to the MCMC method in terms of simulation accuracy,and that both are superior to the EM algorithm.On the other hand,the computational cost of the BMA-BFGS algorithm is substantially less than for MCMC and is almost equivalent to that for EM.

  12. Analysis of the Temporal Organization of Sleep Spindles in the Human Sleep EEG Using a Phenomenological Modeling Approach

    OpenAIRE

    Olbrich, Eckehard; Achermann, Peter

    2008-01-01

    The sleep electroencephalogram (EEG) is characterized by typical oscillatory patterns such as sleep spindles and slow waves. Recently, we proposed a method to detect and analyze these patterns using linear autoregressive models for short (≈ 1 s) data segments. We analyzed the temporal organization of sleep spindles and discuss to what extent the observed interevent intervals correspond to properties of stationary stochastic processes and whether additional slow processes, such as slow oscilla...

  13. Analysis of the temporal organization of sleep spindles in the human sleep EEG using a phenomenological modeling approach.

    OpenAIRE

    Olbrich, E; Achermann, P

    2008-01-01

    The sleep electroencephalogram (EEG) is characterized by typical oscillatory patterns such as sleep spindles and slow waves. Recently, we proposed a method to detect and analyze these patterns using linear autoregressive models for short (≈ 1 s) data segments. We analyzed the temporal organization of sleep spindles and discuss to what extent the observed interevent intervals correspond to properties of stationary stochastic processes and whether additional slow processes, such as slow oscilla...

  14. Modeling Negotiation by a Paticipatory Approach

    Science.gov (United States)

    Torii, Daisuke; Ishida, Toru; Bousquet, François

    In a participatory approach by social scientists, role playing games (RPG) are effectively used to understand real thinking and behavior of stakeholders, but RPG is not sufficient to handle a dynamic process like negotiation. In this study, a participatory simulation where user-controlled avatars and autonomous agents coexist is introduced to the participatory approach for modeling negotiation. To establish a modeling methodology of negotiation, we have tackled the following two issues. First, for enabling domain experts to concentrate interaction design for participatory simulation, we have adopted the architecture in which an interaction layer controls agents and have defined three types of interaction descriptions (interaction protocol, interaction scenario and avatar control scenario) to be described. Second, for enabling domain experts and stakeholders to capitalize on participatory simulation, we have established a four-step process for acquiring negotiation model: 1) surveys and interviews to stakeholders, 2) RPG, 3) interaction design, and 4) participatory simulation. Finally, we discussed our methodology through a case study of agricultural economics in the northeast Thailand.

  15. Beyond the Standard Model: A Noncommutative Approach

    CERN Document Server

    Stephan, Christoph A

    2009-01-01

    During the last two decades Alain Connes developed Noncommutative Geometry (NCG), which allows to unify two of the basic theories of modern physics: General Relativity (GR) and the Standard Model (SM) of Particle Physics as classical field theories. In the noncommutative framework the Higgs boson, which had previously to be put in by hand, and many of the ad hoc features of the standard model appear in a natural way. The aim of this presentation is to motivate this unification from basic physical principles and to give a flavour of its derivation. One basic prediction of the noncommutative approach to the SM is that the mass of the Higgs Boson should be of the order of 170 GeV if one assumes the Big Desert. This mass range is with reasonable probability excluded by the Tevatron and therefore it is interesting to investigate models beyond the SM that are compatible with NCG. Going beyond the SM is highly non-trivial within the NCG approach but possible extensions have been found and provide for phenomenologica...

  16. A multiscale approach for modeling crystalline solids

    Science.gov (United States)

    Cuitiño, Alberto M.; Stainier, Laurent; Wang, Guofeng; Strachan, Alejandro; Çağin, Tahir; Goddard, William A.; Ortiz, Michael

    2001-05-01

    In this paper we present a modeling approach to bridge the atomistic with macroscopic scales in crystalline materials. The methodology combines identification and modeling of the controlling unit processes at microscopic level with the direct atomistic determination of fundamental material properties. These properties are computed using a many body Force Field derived from ab initio quantum-mechanical calculations. This approach is exercised to describe the mechanical response of high-purity Tantalum single crystals, including the effect of temperature and strain-rate on the hardening rate. The resulting atomistically informed model is found to capture salient features of the behavior of these crystals such as: the dependence of the initial yield point on temperature and strain rate; the presence of a marked stage I of easy glide, specially at low temperatures and high strain rates; the sharp onset of stage II hardening and its tendency to shift towards lower strains, and eventually disappear, as the temperature increases or the strain rate decreases; the parabolic stage II hardening at low strain rates or high temperatures; the stage II softening at high strain rates or low temperatures; the trend towards saturation at high strains; the temperature and strain-rate dependence of the saturation stress; and the orientation dependence of the hardening rate.

  17. A computationally efficient autoregressive method for generating phase screens with frozen flow and turbulence in optical simulations

    CERN Document Server

    Srinath, Sriakr; Rudy, Alexander R; Ammons, S Mark

    2015-01-01

    We present a sample-based, autoregressive (AR) method for the generation and time evolution of atmospheric phase screens that is computationally efficient and uses a single parameter per Fourier mode to vary the power contained in the frozen flow and stochastic components. We address limitations of Fourier-based methods such as screen periodicity and low spatial frequency power content. Comparisons of adaptive optics (AO) simulator performance when fed AR phase screens and translating phase screens reveal significantly elevated residual closed-loop temporal power for small increases in added stochastic content at each time step, thus displaying the importance of properly modeling atmospheric "boiling". We present preliminary evidence that our model fits to AO telemetry are better reflections of real conditions than the pure frozen flow assumption.

  18. Polyhedral approach to statistical learning graphical models

    Czech Academy of Sciences Publication Activity Database

    Studený, Milan; Haws, D.; Hemmecke, R.; Lindner, S.

    Singapore : World Scientific Press, 2012, s. 346-372. ISBN 978-981-4383-45-5. [The 2nd CREST-SBM International Conference "Harmony of Groebner Bases and the Modern Industrial Society". Osaka (JP), 28.06.2012-2.07.2012] R&D Projects: GA ČR GA201/08/0539 Institutional support: RVO:67985556 Keywords : Bayesian network stucture * standard imset * characteristic imset * polyhedral geometry Subject RIV: BA - General Mathematics http://library.utia.cas.cz/separaty/2012/MTR/studeny-polyhedral approach to statistical learning graphical models.pdf

  19. Modeling in transport phenomena a conceptual approach

    CERN Document Server

    Tosun, Ismail

    2007-01-01

    Modeling in Transport Phenomena, Second Edition presents and clearly explains with example problems the basic concepts and their applications to fluid flow, heat transfer, mass transfer, chemical reaction engineering and thermodynamics. A balanced approach is presented between analysis and synthesis, students will understand how to use the solution in engineering analysis. Systematic derivations of the equations and the physical significance of each term are given in detail, for students to easily understand and follow up the material. There is a strong incentive in science and engineering to

  20. Modeling for fairness: A Rawlsian approach.

    Science.gov (United States)

    Diekmann, Sven; Zwart, Sjoerd D

    2014-06-01

    In this paper we introduce the overlapping design consensus for the construction of models in design and the related value judgments. The overlapping design consensus is inspired by Rawls' overlapping consensus. The overlapping design consensus is a well-informed, mutual agreement among all stakeholders based on fairness. Fairness is respected if all stakeholders' interests are given due and equal attention. For reaching such fair agreement, we apply Rawls' original position and reflective equilibrium to modeling. We argue that by striving for the original position, stakeholders expel invalid arguments, hierarchies, unwarranted beliefs, and bargaining effects from influencing the consensus. The reflective equilibrium requires that stakeholders' beliefs cohere with the final agreement and its justification. Therefore, the overlapping design consensus is not only an agreement to decisions, as most other stakeholder approaches, it is also an agreement to their justification and that this justification is consistent with each stakeholders' beliefs. For supporting fairness, we argue that fairness qualifies as a maxim in modeling. We furthermore distinguish values embedded in a model from values that are implied by its context of application. Finally, we conclude that for reaching an overlapping design consensus communication about properties of and values related to a model is required. PMID:25051870

  1. Stochastic Modelling of Shiroro River Stream flow Process

    OpenAIRE

    J. J. Musa

    2013-01-01

    Economists, social scientists and engineers provide insights into the drivers of anthropogenic climate change and the options for adaptation and mitigation, and yet other scientists, including geographers and biologists, study the impacts of climate change. This project concentrates mainly on the discharge from the Shiroro River. A stochastic approach is presented for modeling a time series by an Autoregressive Moving Average model (ARMA). The development and use of a stochastic stream flow m...

  2. Modeling Social Annotation: a Bayesian Approach

    CERN Document Server

    Plangprasopchok, Anon

    2008-01-01

    Collaborative tagging systems, such as del.icio.us, CiteULike, and others, allow users to annotate objects, e.g., Web pages or scientific papers, with descriptive labels called tags. The social annotations, contributed by thousands of users, can potentially be used to infer categorical knowledge, classify documents or recommend new relevant information. Traditional text inference methods do not make best use of socially-generated data, since they do not take into account variations in individual users' perspectives and vocabulary. In a previous work, we introduced a simple probabilistic model that takes interests of individual annotators into account in order to find hidden topics of annotated objects. Unfortunately, our proposed approach had a number of shortcomings, including overfitting, local maxima and the requirement to specify values for some parameters. In this paper we address these shortcomings in two ways. First, we extend the model to a fully Bayesian framework. Second, we describe an infinite ver...

  3. Nuclear level density: Shell-model approach

    Science.gov (United States)

    Sen'kov, Roman; Zelevinsky, Vladimir

    2016-06-01

    Knowledge of the nuclear level density is necessary for understanding various reactions, including those in the stellar environment. Usually the combinatorics of a Fermi gas plus pairing is used for finding the level density. Recently a practical algorithm avoiding diagonalization of huge matrices was developed for calculating the density of many-body nuclear energy levels with certain quantum numbers for a full shell-model Hamiltonian. The underlying physics is that of quantum chaos and intrinsic thermalization in a closed system of interacting particles. We briefly explain this algorithm and, when possible, demonstrate the agreement of the results with those derived from exact diagonalization. The resulting level density is much smoother than that coming from conventional mean-field combinatorics. We study the role of various components of residual interactions in the process of thermalization, stressing the influence of incoherent collision-like processes. The shell-model results for the traditionally used parameters are also compared with standard phenomenological approaches.

  4. Pedagogic process modeling: Humanistic-integrative approach

    Directory of Open Access Journals (Sweden)

    Boritko Nikolaj M.

    2007-01-01

    Full Text Available The paper deals with some current problems of modeling the dynamics of the subject-features development of the individual. The term "process" is considered in the context of the humanistic-integrative approach, in which the principles of self education are regarded as criteria for efficient pedagogic activity. Four basic characteristics of the pedagogic process are pointed out: intentionality reflects logicality and regularity of the development of the process; discreteness (stageability in dicates qualitative stages through which the pedagogic phenomenon passes; nonlinearity explains the crisis character of pedagogic processes and reveals inner factors of self-development; situationality requires a selection of pedagogic conditions in accordance with the inner factors, which would enable steering the pedagogic process. Offered are two steps for singling out a particular stage and the algorithm for developing an integrative model for it. The suggested conclusions might be of use for further theoretic research, analyses of educational practices and for realistic predicting of pedagogical phenomena. .

  5. Combinatorial Approach to Modeling Quantum Systems

    Science.gov (United States)

    Kornyak, Vladimir V.

    2016-02-01

    Using the fact that any linear representation of a group can be embedded into permutations, we propose a constructive description of quantum behavior that provides, in particular, a natural explanation of the appearance of complex numbers and unitarity in the formalism of the quantum mechanics. In our approach, the quantum behavior can be explained by the fundamental impossibility to trace the identity of the indistinguishable objects in their evolution. Any observation only provides information about the invariant relations between such objects. The trajectory of a quantum system is a sequence of unitary evolutions interspersed with observations—non-unitary projections. We suggest a scheme to construct combinatorial models of quantum evolution. The principle of selection of the most likely trajectories in such models via the large numbers approximation leads in the continuum limit to the principle of least action with the appropriate Lagrangians and deterministic evolution equations

  6. Vibration-based damage detection in a concrete beam under temperature variations using AR models and state-space approaches

    International Nuclear Information System (INIS)

    The Structural Health Monitoring of civil structures subjected to ambient vibrations is very challenging. Indeed, the variations of environmental conditions and the difficulty to characterize the excitation make the damage detection a hard task. Auto-regressive (AR) models coefficients are often used as damage sensitive feature. The presented work proposes a comparison of the AR approach with a state-space feature formed by the Jacobian matrix of the dynamical process. Since the detection of damage can be formulated as a novelty detection problem, Mahalanobis distance is applied to track new points from an undamaged reference collection of feature vectors. Data from a concrete beam subjected to temperature variations and damaged by several static loading are analyzed. It is observed that the damage sensitive features are effectively sensitive to temperature variations. However, the use of the Mahalanobis distance makes possible the detection of cracking with both of them. Early damage (before cracking) is only revealed by the AR coefficients with a good sensibility.

  7. Vibration-based damage detection in a concrete beam under temperature variations using AR models and state-space approaches

    Energy Technology Data Exchange (ETDEWEB)

    Clement, A; Laurens, S, E-mail: Stephane.laurens@insa-toulouse.fr [Universite de Toulouse, UPS, INSA, LMDC (Laboratoire Materiaux et Durabilite des Constructions), 135, avenue de Rangueil, F-31 077 Toulouse Cedex 04 (France)

    2011-07-19

    The Structural Health Monitoring of civil structures subjected to ambient vibrations is very challenging. Indeed, the variations of environmental conditions and the difficulty to characterize the excitation make the damage detection a hard task. Auto-regressive (AR) models coefficients are often used as damage sensitive feature. The presented work proposes a comparison of the AR approach with a state-space feature formed by the Jacobian matrix of the dynamical process. Since the detection of damage can be formulated as a novelty detection problem, Mahalanobis distance is applied to track new points from an undamaged reference collection of feature vectors. Data from a concrete beam subjected to temperature variations and damaged by several static loading are analyzed. It is observed that the damage sensitive features are effectively sensitive to temperature variations. However, the use of the Mahalanobis distance makes possible the detection of cracking with both of them. Early damage (before cracking) is only revealed by the AR coefficients with a good sensibility.

  8. Instantaneous Frequency Estimation Based On Time-Varying Auto Regressive Model And WAX-Kailath Algorithm

    OpenAIRE

    G. Ravi Shankar Reddy; Rameshwar Rao

    2014-01-01

    Time-varying autoregressive (TVAR) model is used for modeling non stationary signals, Instantaneous frequency (IF) and time-varying power spectral density are then extracted from the TVAR parameters. TVAR based Instantaneous frequency (IF) estimation has been shown to perform very well in realistic scenario when IF variation is quick, non-linear and has short data record. In TVAR modeling approach, the time-varying parameters are expanded as linear combinations of a set of basis functions .In...

  9. Multicomponent Equilibrium Models for Testing Geothermometry Approaches

    Energy Technology Data Exchange (ETDEWEB)

    Carl D. Palmer; Robert W. Smith; Travis L. McLing

    2013-02-01

    Geothermometry is an important tool for estimating deep reservoir temperature from the geochemical composition of shallower and cooler waters. The underlying assumption of geothermometry is that the waters collected from shallow wells and seeps maintain a chemical signature that reflects equilibrium in the deeper reservoir. Many of the geothermometers used in practice are based on correlation between water temperatures and composition or using thermodynamic calculations based a subset (typically silica, cations or cation ratios) of the dissolved constituents. An alternative approach is to use complete water compositions and equilibrium geochemical modeling to calculate the degree of disequilibrium (saturation index) for large number of potential reservoir minerals as a function of temperature. We have constructed several “forward” geochemical models using The Geochemist’s Workbench to simulate the change in chemical composition of reservoir fluids as they migrate toward the surface. These models explicitly account for the formation (mass and composition) of a steam phase and equilibrium partitioning of volatile components (e.g., CO2, H2S, and H2) into the steam as a result of pressure decreases associated with upward fluid migration from depth. We use the synthetic data generated from these simulations to determine the advantages and limitations of various geothermometry and optimization approaches for estimating the likely conditions (e.g., temperature, pCO2) to which the water was exposed in the deep subsurface. We demonstrate the magnitude of errors that can result from boiling, loss of volatiles, and analytical error from sampling and instrumental analysis. The estimated reservoir temperatures for these scenarios are also compared to conventional geothermometers. These results can help improve estimation of geothermal resource temperature during exploration and early development.

  10. Nonlinear Time Series and Neural-Network Models of Exchange Rates between the US Dollar and Major Currencies

    OpenAIRE

    Allen, David E; Michael McAleer; Shelton Peiris; Singh, Abhay K.

    2016-01-01

    This paper features an analysis of major currency exchange rate movements in relation to the US dollar, as constituted in US dollar terms. Euro, British pound, Chinese yuan, and Japanese yen are modelled using a variety of non-linear models, including smooth transition regression models, logistic smooth transition regressions models, threshold autoregressive models, nonlinear autoregressive models, and additive nonlinear autoregressive models, plus Neural Network models. The models are evalua...

  11. Stochastic model updating utilizing Bayesian approach and Gaussian process model

    Science.gov (United States)

    Wan, Hua-Ping; Ren, Wei-Xin

    2016-03-01

    Stochastic model updating (SMU) has been increasingly applied in quantifying structural parameter uncertainty from responses variability. SMU for parameter uncertainty quantification refers to the problem of inverse uncertainty quantification (IUQ), which is a nontrivial task. Inverse problem solved with optimization usually brings about the issues of gradient computation, ill-conditionedness, and non-uniqueness. Moreover, the uncertainty present in response makes the inverse problem more complicated. In this study, Bayesian approach is adopted in SMU for parameter uncertainty quantification. The prominent strength of Bayesian approach for IUQ problem is that it solves IUQ problem in a straightforward manner, which enables it to avoid the previous issues. However, when applied to engineering structures that are modeled with a high-resolution finite element model (FEM), Bayesian approach is still computationally expensive since the commonly used Markov chain Monte Carlo (MCMC) method for Bayesian inference requires a large number of model runs to guarantee the convergence. Herein we reduce computational cost in two aspects. On the one hand, the fast-running Gaussian process model (GPM) is utilized to approximate the time-consuming high-resolution FEM. On the other hand, the advanced MCMC method using delayed rejection adaptive Metropolis (DRAM) algorithm that incorporates local adaptive strategy with global adaptive strategy is employed for Bayesian inference. In addition, we propose the use of the powerful variance-based global sensitivity analysis (GSA) in parameter selection to exclude non-influential parameters from calibration parameters, which yields a reduced-order model and thus further alleviates the computational burden. A simulated aluminum plate and a real-world complex cable-stayed pedestrian bridge are presented to illustrate the proposed framework and verify its feasibility.

  12. Permafrost, climate, and change: predictive modelling approach.

    Science.gov (United States)

    Anisimov, O.

    2003-04-01

    Predicted by GCMs enhanced warming of the Arctic will lead to discernible impacts on permafrost and northern environment. Mathematical models of different complexity forced by scenarios of climate change may be used to predict such changes. Permafrost models that are currently in use may be divided into four groups: index-based models (e.g. frost index model, N-factor model); models of intermediate complexity based on equilibrium simplified solution of the Stephan problem ("Koudriavtcev's" model and its modifications), and full-scale comprehensive dynamical models. New approach of stochastic modelling came into existence recently and has good prospects for the future. Important task is to compare the ability of the models that are different in complexity, concept, and input data requirements to capture the major impacts of changing climate on permafrost. A progressive increase in the depth of seasonal thawing (often referred to as the active-layer thickness, ALT) could be a relatively short-term reaction to climatic warming. At regional and local scales, it may produce substantial effects on vegetation, soil hydrology and runoff, as the water storage capacity of near-surface permafrost will be changed. Growing public concerns are associated with the impacts that warming of permafrost may have on engineered infrastructure built upon it. At the global scale, increase of ALT could facilitate further climatic change if more greenhouse gases are released when the upper layer of the permafrost thaws. Since dynamic permafrost models require complete set of forcing data that is not readily available on the circumpolar scale, they could be used most effectively in regional studies, while models of intermediate complexity are currently best tools for the circumpolar assessments. Set of five transient scenarios of climate change for the period 1980 - 2100 has been constructed using outputs from GFDL, NCAR, CCC, HadCM, and ECHAM-4 models. These GCMs were selected in the course

  13. Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes

    OpenAIRE

    Vermaat, T.M.B.; Meulen, van der, N.; Does, R.J.M.M.

    2010-01-01

    Asymptotic behavior of the variance of the EWMA statistic for autoregressive processes correspondance: Corresponding author. Tel.: +31 20 5255203; fax: +31 20 5255101. (Vermaat, M.B.) (Vermaat, M.B.) Institute for Business and Industrial Statistics of the University of Amsterdam--> , IBIS UvA--> - NETHERLANDS (Vermaat, M.B.) Institute for Business and Industrial Statistics of the University of Amst...

  14. On the Oracle Property of the Adaptive LASSO in Stationary and Nonstationary Autoregressions

    DEFF Research Database (Denmark)

    Kock, Anders Bredahl

    We show that the Adaptive LASSO is oracle efficient in stationary and non-stationary autoregressions. This means that it estimates parameters consistently, selects the correct sparsity pattern, and estimates the coefficients belonging to the relevant variables at the same asymptotic efficiency as...

  15. Evaluating face trustworthiness: a model based approach

    Science.gov (United States)

    Baron, Sean G.; Oosterhof, Nikolaas N.

    2008-01-01

    Judgments of trustworthiness from faces determine basic approach/avoidance responses and approximate the valence evaluation of faces that runs across multiple person judgments. Here, based on trustworthiness judgments and using a computer model for face representation, we built a model for representing face trustworthiness (study 1). Using this model, we generated novel faces with an increased range of trustworthiness and used these faces as stimuli in a functional Magnetic Resonance Imaging study (study 2). Although participants did not engage in explicit evaluation of the faces, the amygdala response changed as a function of face trustworthiness. An area in the right amygdala showed a negative linear response—as the untrustworthiness of faces increased so did the amygdala response. Areas in the left and right putamen, the latter area extended into the anterior insula, showed a similar negative linear response. The response in the left amygdala was quadratic—strongest for faces on both extremes of the trustworthiness dimension. The medial prefrontal cortex and precuneus also showed a quadratic response, but their response was strongest to faces in the middle range of the trustworthiness dimension. PMID:19015102

  16. Implementing Ethics Auditing Model: New Approach

    Directory of Open Access Journals (Sweden)

    Merle Rihma

    2014-08-01

    Full Text Available The aims of this article are to test how does enhanced ethics audit model as a new tool for management in Estonian companies work and to investigate through ethics audit model the hidden ethical risks in information technology which occur in everyday work and may be of harm to stakeholders’ interests. Carrying out ethics audit requires the diversity of research methods. Therefore throughout the research the authors took into account triangulation method. The research was conducted through qualitative approach and an analysis on a case study, which also included interviews, questionnaires and observations. Reason why authors audited ethical aspects of company´s info technology field is due to the fact that info technology as such is an area which is not handled in any CSR reports but may cause serious ethical risks to company ́s stakeholders. The article concludes with suggesting an extension of the ethics audit model for evaluating ethical risks and for companies to help to raise employees’- awareness about safe internet using and responsibility towards protecting the organization’s information technology and to prevent ethical and moral risks occurring.

  17. Modeling tourism flows through gravity models: A quantile regression approach

    OpenAIRE

    Santeramo, Fabio Gaetano; Morelli, Mariangela

    2015-01-01

    Gravity models are widely used to study tourism flows. The peculiarities of the segmented international demand for agritourism in Italy is examined by means of novel approach: a panel data quantile regression. We characterize the international demand for Italian agritourism with a large dataset, by considering data of thirty-three countries of origin, from 1998 to 2010. Distance and income are major determinants, but we also found that mutual agreements and high urbanization rates in countrie...

  18. Approaches and models of intercultural education

    Directory of Open Access Journals (Sweden)

    Iván Manuel Sánchez Fontalvo

    2013-10-01

    Full Text Available Needed to be aware of the need to build an intercultural society, awareness must be assumed in all social spheres, where stands the role play education. A role of transcendental, since it must promote educational spaces to form people with virtues and powers that allow them to live together / as in multicultural contexts and social diversities (sometimes uneven in an increasingly globalized and interconnected world, and foster the development of feelings of civic belonging shared before the neighborhood, city, region and country, allowing them concern and critical judgement to marginalization, poverty, misery and inequitable distribution of wealth, causes of structural violence, but at the same time, wanting to work for the welfare and transformation of these scenarios. Since these budgets, it is important to know the approaches and models of intercultural education that have been developed so far, analysing their impact on the contexts educational where apply.   

  19. Modelling Approach In Islamic Architectural Designs

    Directory of Open Access Journals (Sweden)

    Suhaimi Salleh

    2014-06-01

    Full Text Available Architectural designs contribute as one of the main factors that should be considered in minimizing negative impacts in planning and structural development in buildings such as in mosques. In this paper, the ergonomics perspective is revisited which hence focuses on the conditional factors involving organisational, psychological, social and population as a whole. This paper tries to highlight the functional and architectural integration with ecstatic elements in the form of decorative and ornamental outlay as well as incorporating the building structure such as wall, domes and gates. This paper further focuses the mathematical aspects of the architectural designs such as polar equations and the golden ratio. These designs are modelled into mathematical equations of various forms, while the golden ratio in mosque is verified using two techniques namely, the geometric construction and the numerical method. The exemplary designs are taken from theSabah Bandaraya Mosque in Likas, Kota Kinabalu and the Sarawak State Mosque in Kuching,while the Universiti Malaysia Sabah Mosque is used for the Golden Ratio. Results show thatIslamic architectural buildings and designs have long had mathematical concepts and techniques underlying its foundation, hence, a modelling approach is needed to rejuvenate these Islamic designs.

  20. Refining the committee approach and uncertainty prediction in hydrological modelling

    OpenAIRE

    N. Kayastha

    2014-01-01

    Due to the complexity of hydrological systems a single model may be unable to capture the full range of a catchment response and accurately predict the streamflows. The multi modelling approach opens up possibilities for handling such difficulties and allows improve the predictive capability of models. One of multi modelling approaches called "committee modelling" is one of the topics in part of this study. Special attention is given to the so-called “fuzzy committee” approach to hydrological...

  1. Multi-curve HJM modelling for risk management

    OpenAIRE

    Chiara Sabelli; Michele Pioppi; Luca Sitzia; Giacomo Bormetti

    2014-01-01

    We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for a finite number of time-to-maturity buckets, we propose a modelling framework which is inherently discrete. In particular, we show how to approximate the HJM continuous time description of the multi-curve dynamics by a Vector Autoregressive process of orde...

  2. Multilevel vector autoregressive prediction of sea surface temperature in the North Tropical Atlantic Ocean and the Caribbean Sea

    Science.gov (United States)

    Lee, Dong Eun; Chapman, David; Henderson, Naomi; Chen, Chen; Cane, Mark A.

    2016-07-01

    We use a multilevel vector autoregressive model (VAR-L), to forecast sea surface temperature anomalies (SSTAs) in the Atlantic hurricane Main Development Region (MDR). VAR-L is a linear regression model using global SSTA data from L prior months as predictors. In hindcasts for the recent 30 years, the multilevel VAR-L outperforms a state-of-the-art dynamic forecast model, as well as the commonly used linear inverse model (LIM). The multilevel VAR-L model shows skill in 6-12 month forecasts, with its greatest skill in the months of the active hurricane season. The optimized model for the best long-range skill score in the MDR, chosen by a cross-validation procedure, has 12 time levels and 12 empirical orthogonal function modes. We investigate the optimal initial conditions for MDR SSTA prediction using a generalized singular vector decomposition of the propagation matrix. We find that the added temporal degrees of freedom for the predictands in VAR12 as compared with a LIM model, which allow the model to capture both the local wind-evaporation-SST feedback in the Tropical Atlantic and the impact on the Atlantic of an improved medium-range ENSO forecast, elevate the long-range forecast skill in the MDR.

  3. Agents: An approach for dynamic process modelling

    Science.gov (United States)

    Grohmann, Axel; Kopetzky, Roland; Lurk, Alexander

    1999-03-01

    With the growing amount of distributed and heterogeneous information and services, conventional information systems have come to their limits. This gave rise to the development of a Multi-Agent System (the "Logical Client") which can be used in complex information systems as well as in other advanced software systems. Computer agents are proactive, reactive and social. They form a community of independent software components that can communicate and co-operate in order to accomplish complex tasks. Thus the agent-oriented paradigm provides a new and powerful approach to programming distributed systems. The communication framework developed is based on standards like CORBA, KQML and KIF. It provides an embedded rule based system to find adequate reactions to incoming messages. The macro-architecture of the Logical Client consists of independent agents and uses artificial intelligence to cope with complex patterns of communication and actions. A set of system agents is also provided, including the Strategy Service as a core component for modelling processes at runtime, the Computer Supported Cooperative Work (CSCW) Component for supporting remote co-operation between human users and the Repository for managing and hiding the file based data flow in heterogeneous networks. This architecture seems to be capable of managing complexity in information systems. It is also being implemented in a complex simulation system that monitors and simulates the environmental radioactivity in the country Baden-Württemberg.

  4. THE CONTINUUM APPROACH IN A GROUTING MODEL

    OpenAIRE

    Demchuk, M.; Saiyouri, N.

    2014-01-01

    Получено значение максимального размера поры, при котором континуальный подход всё ещё можно применять в моделировании распространения цемента в насыщенном песке при цементации, которая не разрушает структуру грунта.The value of the maximal pore size whereby the continuum approach can still be adopted for modeling cement grout propagation in saturated sand during permeation grouting is obtained....

  5. Comparison of conventional averaged and rapid averaged, autoregressive-based extracted auditory evoked potentials for monitoring the hypnotic level during propofol induction

    DEFF Research Database (Denmark)

    Litvan, Héctor; Jensen, Erik W; Galan, Josefina;

    2002-01-01

    The extraction of the middle latency auditory evoked potentials (MLAEP) is usually done by moving time averaging (MTA) over many sweeps (often 250-1,000), which could produce a delay of more than 1 min. This problem was addressed by applying an autoregressive model with exogenous input (ARX) that...... enables extraction of the auditory evoked potentials (AEP) within 15 sweeps. The objective of this study was to show that an AEP could be extracted faster by ARX than by MTA and with the same reliability....

  6. Data Needs for Evolving Motor Vehicle Emission Modeling Approaches

    OpenAIRE

    Guensler, Randall

    1993-01-01

    After describing the current emission modeling regime, the paper identifies and discusses the major problems with the existing emission modeling approaches. The current short-term modeling improvement programs of the US Environmental Protection Agency and the California Air Resources Board are discussed. The paper then outlines the three long-term modeling improvement approaches that are currently being investigated by regulatory agencies: a multiple-cycle method, an engine map approach, and ...

  7. Computational and Game-Theoretic Approaches for Modeling Bounded Rationality

    NARCIS (Netherlands)

    L. Waltman (Ludo)

    2011-01-01

    textabstractThis thesis studies various computational and game-theoretic approaches to economic modeling. Unlike traditional approaches to economic modeling, the approaches studied in this thesis do not rely on the assumption that economic agents behave in a fully rational way. Instead, economic age

  8. Generation Of Flood Inundation Model – General Approach And Methodology

    OpenAIRE

    Marina Mazlan,; Mohd Adib Mohammed Razi

    2014-01-01

    This paper presents in general the approach, methodology and applied practice for the generation of flood inundation model. The generation of the model cover on: (1) data availability, (2) methodology, (3) flood modeling using the one-dimensional (1D) and two-dimensional (2D) hydrodynamic model, and (4) generation of flood inundation modelof integration of hydrodynamic model and flood mapping approach. The Sembrong River hydrodynamic model, Sembrong River flood mapping, and Ko...

  9. An Urn Model Approach for Deriving Multivariate Generalized Hypergeometric Distributions

    OpenAIRE

    Chen, Xinjia

    2013-01-01

    We propose new generalized multivariate hypergeometric distributions, which extremely resemble the classical multivariate hypergeometric distributions. The proposed distributions are derived based on an urn model approach. In contrast to existing methods, this approach does not involve hypergeometric series.

  10. A Causal, Data-driven Approach to Modeling the Kepler Data

    Science.gov (United States)

    Wang, Dun; Hogg, David W.; Foreman-Mackey, Daniel; Schölkopf, Bernhard

    2016-09-01

    Astronomical observations are affected by several kinds of noise, each with its own causal source; there is photon noise, stochastic source variability, and residuals coming from imperfect calibration of the detector or telescope. The precision of NASA Kepler photometry for exoplanet science—the most precise photometric measurements of stars ever made—appears to be limited by unknown or untracked variations in spacecraft pointing and temperature, and unmodeled stellar variability. Here, we present the causal pixel model (CPM) for Kepler data, a data-driven model intended to capture variability but preserve transit signals. The CPM works at the pixel level so that it can capture very fine-grained information about the variation of the spacecraft. The CPM models the systematic effects in the time series of a pixel using the pixels of many other stars and the assumption that any shared signal in these causally disconnected light curves is caused by instrumental effects. In addition, we use the target star’s future and past (autoregression). By appropriately separating, for each data point, the data into training and test sets, we ensure that information about any transit will be perfectly isolated from the model. The method has four tuning parameters—the number of predictor stars or pixels, the autoregressive window size, and two L2-regularization amplitudes for model components, which we set by cross-validation. We determine values for tuning parameters that works well for most of the stars and apply the method to a corresponding set of target stars. We find that CPM can consistently produce low-noise light curves. In this paper, we demonstrate that pixel-level de-trending is possible while retaining transit signals, and we think that methods like CPM are generally applicable and might be useful for K2, TESS, etc., where the data are not clean postage stamps like Kepler.

  11. An Application of Non-Linear Autoregressive Neural Networks to Predict Energy Consumption in Public Buildings

    Directory of Open Access Journals (Sweden)

    Luis Gonzaga Baca Ruiz

    2016-08-01

    Full Text Available This paper addresses the problem of energy consumption prediction using neural networks over a set of public buildings. Since energy consumption in the public sector comprises a substantial share of overall consumption, the prediction of such consumption represents a decisive issue in the achievement of energy savings. In our experiments, we use the data provided by an energy consumption monitoring system in a compound of faculties and research centers at the University of Granada, and provide a methodology to predict future energy consumption using nonlinear autoregressive (NAR and the nonlinear autoregressive neural network with exogenous inputs (NARX, respectively. Results reveal that NAR and NARX neural networks are both suitable for performing energy consumption prediction, but also that exogenous data may help to improve the accuracy of predictions.

  12. Damage and noise sensitivity evaluation of autoregressive features extracted from structure vibration

    International Nuclear Information System (INIS)

    In the past few decades many types of structural damage indices based on structural health monitoring signals have been proposed, requiring performance evaluation and comparison studies on these indices in a quantitative manner. One tool to help accomplish this objective is analytical sensitivity analysis, which has been successfully used to evaluate the influences of system operational parameters on observable characteristics in many fields of study. In this paper, the sensitivity expressions of two damage features, namely the Mahalanobis distance of autoregressive coefficients and the Cosh distance of autoregressive spectra, will be derived with respect to both structural damage and measurement noise level. The effectiveness of the proposed methods is illustrated in a numerical case study on a 10-DOF system, where their results are compared with those from direct simulation and theoretical calculation. (paper)

  13. Estimation of Time-Varying Autoregressive Symmetric Alpha Stable

    Data.gov (United States)

    National Aeronautics and Space Administration — In the last decade alpha-stable distributions have become a standard model for impulsive data. Especially the linear symmetric alpha-stable processes have found...

  14. On covariance generating functions and spectral densities of periodically correlated autoregressive processes

    Directory of Open Access Journals (Sweden)

    A. R. Soltani

    2006-05-01

    Full Text Available Periodically correlated autoregressive nonstationary processes of finite order are considered. The corresponding Yule-Walker equations are applied to derive the generating functions of the covariance functions, what are called here the periodic covariance generating functions. We also provide closed formulas for the spectral densities by using the periodic covariance generating functions, which is a new technique in the spectral theory of periodically correlated processes.

  15. Determinants of Target Dividend Payout Ratio: A Panel Autoregressive Distributed Lag Analysis

    OpenAIRE

    Kartal Demirgüneþ

    2015-01-01

    The aim of this study is to find out the determinants of target dividend payout ratio (TDPR) of BIST - listed firms operating in the non-metallic products (cement) manufacturing industry in the period of 2002-2012. Through this aim, the short and long-run effects of factors related to profitability, liquidity, growth, risk, market expectations and taxation on TDPR is analyzed via panel autoregressive distributed lag analysis methodology. Empirical findings indicate that in the long-run, facto...

  16. Model-driven software development approaches in robotics research

    OpenAIRE

    Ramaswamy, Arun Kumar; Monsuez, Bruno; Tapus, Adriana

    2014-01-01

    Recently, there is an encouraging trend in adopting model-driven engineering approaches for software development in robotics research. In this paper, currently available model-driven techniques in robotics are analyzed with respect to the domain-specific requirements. A conceptual overview of our software development approach called 'Self Adaptive Framework for Robotic Systems (SafeRobots)' is explained and we also try to position our approach within this model ecosystem.

  17. Rival approaches to mathematical modelling in immunology

    Science.gov (United States)

    Andrew, Sarah M.; Baker, Christopher T. H.; Bocharov, Gennady A.

    2007-08-01

    In order to formulate quantitatively correct mathematical models of the immune system, one requires an understanding of immune processes and familiarity with a range of mathematical techniques. Selection of an appropriate model requires a number of decisions to be made, including a choice of the modelling objectives, strategies and techniques and the types of model considered as candidate models. The authors adopt a multidisciplinary perspective.

  18. Thin films stress modeling : a novel approach

    OpenAIRE

    Bhattacharyya, A. S.; Ramgiri, Praveen Kumar

    2015-01-01

    A novel approach to estimate the thin film stress was discussed based on surface tension. The effect of temperature and film thickness was studies. The effect of stress on the film mechanical properties was observed.

  19. Identification of Civil Engineering Structures using Vector ARMA Models

    DEFF Research Database (Denmark)

    Andersen, P.

    The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models.......The dissertation treats the matter of systems identification and modelling of load-bearing constructions using Auto-Regressive Moving Average Vector (ARMAV) models....

  20. Modelling troposhperic OH; a new approach

    Energy Technology Data Exchange (ETDEWEB)

    Herbert, A.; Armerding, W.; Comes, F.J. (Frankfurt Univ. (Germany, F.R.). Inst. fuer Physikalische und Theoretische Chemie)

    1991-02-01

    A new fully dynamic model for tropospheric OH has been developed. The model structure is especially designed to comply with the needs of small scale problems and comparison with field data. Using the lokal character of most measurements providing the boundary conditions to the calculations and the local character of the OH concentration itself, the model is able to simplify the description of transport and deposition processes. Additionally the required initial data set can be reduced thus leading generally to a minimization of the measurement based error of the model results. As a special feature this model can calculate fluxes of atmospheric constituents resulting from emissions and transport which are an input to most models. Combining the photochemical model with budget and sensitivity calculations this system is equipped with testing and self-correction facilities which help to achieve a strong error reduction in tropospheric modelling. (orig./KW).

  1. OILMAP: A global approach to spill modeling

    International Nuclear Information System (INIS)

    OILMAP is an oil spill model system suitable for use in both rapid response mode and long-range contingency planning. It was developed for a personal computer and employs full-color graphics to enter data, set up spill scenarios, and view model predictions. The major components of OILMAP include environmental data entry and viewing capabilities, the oil spill models, and model prediction display capabilities. Graphic routines are provided for entering wind data, currents, and any type of geographically referenced data. Several modes of the spill model are available. The surface trajectory mode is intended for quick spill response. The weathering model includes the spreading, evaporation, entrainment, emulsification, and shoreline interaction of oil. The stochastic and receptor models simulate a large number of trajectories from a single site for generating probability statistics. Each model and the algorithms they use are described. Several additional capabilities are planned for OILMAP, including simulation of tactical spill response and subsurface oil transport. 8 refs

  2. Uncertainty in biology a computational modeling approach

    CERN Document Server

    Gomez-Cabrero, David

    2016-01-01

    Computational modeling of biomedical processes is gaining more and more weight in the current research into the etiology of biomedical problems and potential treatment strategies.  Computational modeling allows to reduce, refine and replace animal experimentation as well as to translate findings obtained in these experiments to the human background. However these biomedical problems are inherently complex with a myriad of influencing factors, which strongly complicates the model building and validation process.  This book wants to address four main issues related to the building and validation of computational models of biomedical processes: Modeling establishment under uncertainty Model selection and parameter fitting Sensitivity analysis and model adaptation Model predictions under uncertainty In each of the abovementioned areas, the book discusses a number of key-techniques by means of a general theoretical description followed by one or more practical examples.  This book is intended for graduate stude...

  3. Identification and estimation of non-Gaussian structural vector autoregressions

    DEFF Research Database (Denmark)

    Lanne, Markku; Meitz, Mika; Saikkonen, Pentti

    -Gaussian components is, without any additional restrictions, identified and leads to (essentially) unique impulse responses. We also introduce an identification scheme under which the maximum likelihood estimator of the non-Gaussian SVAR model is consistent and asymptotically normally distributed. As a consequence......, additional economic identifying restrictions can be tested. In an empirical application, we find a negative impact of a contractionary monetary policy shock on financial markets, and clearly reject the commonly employed recursive identifying restrictions....

  4. Local approach and micromechanical modelling of fracture

    International Nuclear Information System (INIS)

    After an introduction into the phenomenae of brittle and ductile fracture of steels the lecture will present various micromechanical models covering different aspects of the failure process. Emphasis will be laid on the applicatin of those models covering in particular the Weibull cleavage stress, the Rice and Tracey void growth model, and the Gurson model as modified by Needleman and Tvergard. Whenever possible, the comparison of experimental and numerical results will be stressed. In conclusion, the future potential of micromechanical models will be sketched, e.g., application to other materials like composites or towards optimization of existing and design of new materials. (orig.)

  5. An equilibrium approach to modelling social interaction

    CERN Document Server

    Gallo, Ignacio

    2009-01-01

    The aim of this work is to put forward a statistical mechanics theory of social interaction, generalizing econometric discrete choice models. After showing the formal equivalence linking econometric multinomial logit models to equilibrium statical mechanics, a multi-population generalization of the Curie-Weiss model for ferromagnets is considered as a starting point in developing a model capable of describing sudden shifts in aggregate human behaviour. Existence of the thermodynamic limit for the model is shown by an asymptotic sub-additivity method and factorization of correlation functions is proved almost everywhere. The exact solution of the model is provided in the thermodynamical limit by finding converging upper and lower bounds for the system's pressure, and the solution is used to prove an analytic result regarding the number of possible equilibrium states of a two-population system. The work stresses the importance of linking regimes predicted by the model to real phenomena, and to this end it propo...

  6. Systematic approach to modelling in economic systems information Petri nets

    Directory of Open Access Journals (Sweden)

    Dmitry V. Gorbachev

    2011-08-01

    Full Text Available The article describes the systematic approach to developing a system of combined models of discrete processes. Mathematical basis for constructing a model of information Petri nets.

  7. A model-based multisensor data fusion knowledge management approach

    Science.gov (United States)

    Straub, Jeremy

    2014-06-01

    A variety of approaches exist for combining data from multiple sensors. The model-based approach combines data based on its support for or refutation of elements of the model which in turn can be used to evaluate an experimental thesis. This paper presents a collection of algorithms for mapping various types of sensor data onto a thesis-based model and evaluating the truth or falsity of the thesis, based on the model. The use of this approach for autonomously arriving at findings and for prioritizing data are considered. Techniques for updating the model (instead of arriving at a true/false assertion) are also discussed.

  8. Analyzing the Impact of One Important Unplanned Exceptional Event, Hurricanes, on Crime in Louisiana, U.S. Using a Visual Analytics Approach. GI_Forum 2013 – Creating the GISociety|

    OpenAIRE

    Guo, Diansheng; Leitner, Michael

    2013-01-01

    This research is a follow-up study of LEITNER et al. (2011) who assessed the effect that one natural disaster – Hurricane Katrina – and subsequent population movements have had on crime in the state of Louisiana, U.S. Instead of using autoregressive, integrated, and moving average (ARIMA) models and cumulative percentile maps to analyze spatial and temporal trends of crimes across the study area, this study utilizes a visual analytics approach that integrates self-organizing map, color encodi...

  9. An algebraic approach to the Hubbard model

    CERN Document Server

    de Leeuw, Marius

    2015-01-01

    We study the algebraic structure of an integrable Hubbard-Shastry type lattice model associated with the centrally extended su(2|2) superalgebra. This superalgebra underlies Beisert's AdS/CFT worldsheet R-matrix and Shastry's R-matrix. The considered model specializes to the one-dimensional Hubbard model in a certain limit. We demonstrate that Yangian symmetries of the R-matrix specialize to the Yangian symmetry of the Hubbard model found by Korepin and Uglov. Moreover, we show that the Hubbard model Hamiltonian has an algebraic interpretation as the so-called secret symmetry. We also discuss Yangian symmetries of the A and B models introduced by Frolov and Quinn.

  10. Classical time-varying FAVAR models - estimation, forecasting and structural analysis

    OpenAIRE

    Eickmeier, Sandra; Lemke, Wolfgang; Marcellino, Massimiliano

    2011-01-01

    We propose a classical approach to estimate factor-augmented vector autoregressive (FAVAR) models with time variation in the factor loadings, in the factor dynamics, and in the variance-covariance matrix of innovations. When the time-varying FAVAR is estimated using a large quarterly dataset of US variables from 1972 to 2007, the results indicate some changes in the factor dynamics, and more marked variation in the factors' shock volatility and their loading parameters. Forecasts from the tim...

  11. MODELS OF TECHNOLOGY ADOPTION: AN INTEGRATIVE APPROACH

    OpenAIRE

    Andrei OGREZEANU

    2015-01-01

    The interdisciplinary study of information technology adoption has developed rapidly over the last 30 years. Various theoretical models have been developed and applied such as: the Technology Acceptance Model (TAM), Innovation Diffusion Theory (IDT), Theory of Planned Behavior (TPB), etc. The result of these many years of research is thousands of contributions to the field, which, however, remain highly fragmented. This paper develops a theoretical model of technology adoption by in...

  12. MODELS OF TECHNOLOGY ADOPTION: AN INTEGRATIVE APPROACH

    OpenAIRE

    Andrei OGREZEANU

    2015-01-01

    The interdisciplinary study of information technology adoption has developed rapidly over the last 30 years. Various theoretical models have been developed and applied such as: the Technology Acceptance Model (TAM), Innovation Diffusion Theory (IDT), Theory of Planned Behavior (TPB), etc. The result of these many years of research is thousands of contributions to the field, which, however, remain highly fragmented. This paper develops a theoretical model of technology adoption by integrating ...

  13. Uncertainty in biology: a computational modeling approach

    OpenAIRE

    2015-01-01

    Computational modeling of biomedical processes is gaining more and more weight in the current research into the etiology of biomedical problems and potential treatment strategies. Computational modeling allows to reduce, refine and replace animal experimentation as well as to translate findings obtained in these experiments to the human background. However these biomedical problems are inherently complex with a myriad of influencing factors, which strongly complicates the model building...

  14. Consumer preference models: fuzzy theory approach

    Science.gov (United States)

    Turksen, I. B.; Wilson, I. A.

    1993-12-01

    Consumer preference models are widely used in new product design, marketing management, pricing and market segmentation. The purpose of this article is to develop and test a fuzzy set preference model which can represent linguistic variables in individual-level models implemented in parallel with existing conjoint models. The potential improvements in market share prediction and predictive validity can substantially improve management decisions about what to make (product design), for whom to make it (market segmentation) and how much to make (market share prediction).

  15. Downscaling stream flow time series from monthly to daily scales using an auto-regressive stochastic algorithm: StreamFARM

    Science.gov (United States)

    Rebora, N.; Silvestro, F.; Rudari, R.; Herold, C.; Ferraris, L.

    2016-06-01

    Downscaling methods are used to derive stream flow at a high temporal resolution from a data series that has a coarser time resolution. These algorithms are useful for many applications, such as water management and statistical analysis, because in many cases stream flow time series are available with coarse temporal steps (monthly), especially when considering historical data; however, in many cases, data that have a finer temporal resolution are needed (daily). In this study, we considered a simple but efficient stochastic auto-regressive model that is able to downscale the available stream flow data from monthly to daily time resolution and applied it to a large dataset that covered the entire North and Central American continent. Basins with different drainage areas and different hydro-climatic characteristics were considered, and the results show the general good ability of the analysed model to downscale monthly stream flows to daily stream flows, especially regarding the reproduction of the annual maxima. If the performance in terms of the reproduction of hydrographs and duration curves is considered, better results are obtained for those cases in which the hydrologic regime is such that the annual maxima stream flow show low or medium variability, which means that they have a low or medium coefficient of variation; however, when the variability increases, the performance of the model decreases.

  16. Students' Approaches to Learning a New Mathematical Model

    Science.gov (United States)

    Flegg, Jennifer A.; Mallet, Daniel G.; Lupton, Mandy

    2013-01-01

    In this article, we report on the findings of an exploratory study into the experience of undergraduate students as they learn new mathematical models. Qualitative and quantitative data based around the students' approaches to learning new mathematical models were collected. The data revealed that students actively adopt three approaches to…

  17. Nucleon Spin Content in a Relativistic Quark Potential Model Approach

    Institute of Scientific and Technical Information of China (English)

    DONG YuBing; FENG QingGuo

    2002-01-01

    Based on a relativistic quark model approach with an effective potential U(r) = (ac/2)(1 + γ0)r2, the spin content of the nucleon is investigated. Pseudo-scalar interaction between quarks and Goldstone bosons is employed to calculate the couplings between the Goldstone bosons and the nucleon. Different approaches to deal with the center of mass correction in the relativistic quark potential model approach are discussed.

  18. A simple approach to modeling ductile failure.

    Energy Technology Data Exchange (ETDEWEB)

    Wellman, Gerald William

    2012-06-01

    Sandia National Laboratories has the need to predict the behavior of structures after the occurrence of an initial failure. In some cases determining the extent of failure, beyond initiation, is required, while in a few cases the initial failure is a design feature used to tailor the subsequent load paths. In either case, the ability to numerically simulate the initiation and propagation of failures is a highly desired capability. This document describes one approach to the simulation of failure initiation and propagation.

  19. On the Identifiability Conditions in Some Nonlinear Time Series Models

    OpenAIRE

    Noh, Jungsik; Lee, Sangyeol

    2013-01-01

    In this study, we consider the identifiability problem for nonlinear time series models. Special attention is paid to smooth transition GARCH, nonlinear Poisson autoregressive, and multiple regime smooth transition autoregressive models. Some sufficient conditions are obtained to establish the identifiability of these models.

  20. Non-Gaussian bifurcating models and quasi-likelihood estimation

    OpenAIRE

    Basawa, I. V.; J. Zhou

    2004-01-01

    A general class of Markovian non-Gaussian bifurcating models for cell lineage data is presented. Examples include bifurcating autoregression, random coefficient autoregression, bivariate exponential, bivariate gamma, and bivariate Poisson models. Quasi-likelihood estimation for the model parameters and large-sample properties of the estimates are discussed.

  1. KNOWLEDGE BASED APPROACH TO SOFTWARE DEVELOPMENT PROCESS MODELING

    OpenAIRE

    Jan Kozusznik; Svatopluk Stolfa

    2011-01-01

    Modeling a software process is one way a can company decide which software process and/or its adjustment is the best solution for the current project. Modeling is the way the process is presented or simulated. Since there are many different approaches to modeling and all of them have pros and cons, the very first task is the selection of an appropriate and useful modeling approach for the current goal and selected conditions. In this paper, we propose an approach based on ontologies.

  2. KNOWLEDGE BASED APPROACH TO SOFTWARE DEVELOPMENT PROCESS MODELING

    Directory of Open Access Journals (Sweden)

    Jan Kozusznik

    2011-01-01

    Full Text Available Modeling a software process is one way a can company decide which software process and/or its adjustment is the best solution for the current project. Modeling is the way the process is presented or simulated. Since there are many different approaches to modeling and all of them have pros and cons, the very first task is the selection of an appropriate and useful modeling approach for the current goal and selected conditions. In this paper, we propose an approach based on ontologies.

  3. Machine Learning Approaches for Modeling Spammer Behavior

    CERN Document Server

    Islam, Md Saiful; Islam, Md Rafiqul

    2010-01-01

    Spam is commonly known as unsolicited or unwanted email messages in the Internet causing potential threat to Internet Security. Users spend a valuable amount of time deleting spam emails. More importantly, ever increasing spam emails occupy server storage space and consume network bandwidth. Keyword-based spam email filtering strategies will eventually be less successful to model spammer behavior as the spammer constantly changes their tricks to circumvent these filters. The evasive tactics that the spammer uses are patterns and these patterns can be modeled to combat spam. This paper investigates the possibilities of modeling spammer behavioral patterns by well-known classification algorithms such as Na\\"ive Bayesian classifier (Na\\"ive Bayes), Decision Tree Induction (DTI) and Support Vector Machines (SVMs). Preliminary experimental results demonstrate a promising detection rate of around 92%, which is considerably an enhancement of performance compared to similar spammer behavior modeling research.

  4. An improved approach for tank purge modeling

    Science.gov (United States)

    Roth, Jacob R.; Chintalapati, Sunil; Gutierrez, Hector M.; Kirk, Daniel R.

    2013-05-01

    Many launch support processes use helium gas to purge rocket propellant tanks and fill lines to rid them of hazardous contaminants. As an example, the purge of the Space Shuttle's External Tank used approximately 1,100 kg of helium. With the rising cost of helium, initiatives are underway to examine methods to reduce helium consumption. Current helium purge processes have not been optimized using physics-based models, but rather use historical 'rules of thumb'. To develop a more accurate and useful model of the tank purge process, computational fluid dynamics simulations of several tank configurations were completed and used as the basis for the development of an algebraic model of the purge process. The computationally efficient algebraic model of the purge process compares well with a detailed transient, three-dimensional computational fluid dynamics (CFD) simulation as well as with experimental data from two external tank purges.

  5. Determination of Complex-Valued Parametric Model Coefficients Using Artificial Neural Network Technique

    Directory of Open Access Journals (Sweden)

    A. M. Aibinu

    2010-01-01

    Full Text Available A new approach for determining the coefficients of a complex-valued autoregressive (CAR and complex-valued autoregressive moving average (CARMA model coefficients using complex-valued neural network (CVNN technique is discussed in this paper. The CAR and complex-valued moving average (CMA coefficients which constitute a CARMA model are computed simultaneously from the adaptive weights and coefficients of the linear activation functions in a two-layered CVNN. The performance of the proposed technique has been evaluated using simulated complex-valued data (CVD with three different types of activation functions. The results show that the proposed method can accurately determine the model coefficients provided that the network is properly trained. Furthermore, application of the developed CVNN-based technique for MRI K-space reconstruction results in images with improve resolution.

  6. Business Models in OER, a Contingency Approach

    OpenAIRE

    Helsdingen, Anne; Janssen, Ben; Schuwer, Robert

    2010-01-01

    We will present an analysis of data from a literature review and semi-structured interviews with experts on OER, to identify different aspects of OER business models and to establish how the success of the OER initiatives is measured. The results collected thus far show that two different business models for OER initiatives exist, but no data on their success or failure is published. We propose a framework for measuring success of OER initiatives.

  7. Implementing Ethics Auditing Model: New Approach

    OpenAIRE

    Merle Rihma; Birgy Lorenz; Mari Meel; Anu Leppiman

    2014-01-01

    The aims of this article are to test how does enhanced ethics audit model as a new tool for management in Estonian companies work and to investigate through ethics audit model the hidden ethical risks in information technology which occur in everyday work and may be of harm to stakeholders’ interests. Carrying out ethics audit requires the diversity of research methods. Therefore throughout the research the authors took into account triangulation method. The research was conducted through qu...

  8. INFLATION AND COMPETITIVENESS, A VAR MODELLING APPROACH

    Directory of Open Access Journals (Sweden)

    Cosmin FRATOSTITEANU

    2010-01-01

    Full Text Available VAR modeling in inflation forecasting has been widely used, and rathersuccessful, even if there have been several critiques of its exactness oraccuracy. This paper is structured into two sections. The first oneaccomplishes a general presentation of VAR modeling in forecastinginflation, and the second is focused on the results of this econometricapproach for inflation in Romania. Even if we considered methodologiescontaining inflation measured using CPI, CORE1 and CORE2, testing willonly be performed for the CPI Inflation.

  9. Modelling Stop Intersection Approaches using Gaussian Processes

    OpenAIRE

    Armand, Alexandre; Filliat, David; Ibanez-Guzman, Javier

    2013-01-01

    International audience Each driver reacts differently to the same traffic conditions, however, most Advanced Driving Assistant Systems (ADAS) assume that all drivers are the same. This paper proposes a method to learn and to model the velocity profile that the driver follows as the vehicle decelerates towards a stop intersection. Gaussian Processes (GP), a machine learning method for non-linear regressions are used to model the velocity profiles. It is shown that GP are well adapted for su...

  10. Second Quantization Approach to Stochastic Epidemic Models

    CERN Document Server

    Mondaini, Leonardo

    2015-01-01

    We show how the standard field theoretical language based on creation and annihilation operators may be used for a straightforward derivation of closed master equations describing the population dynamics of multivariate stochastic epidemic models. In order to do that, we introduce an SIR-inspired stochastic model for hepatitis C virus epidemic, from which we obtain the time evolution of the mean number of susceptible, infected, recovered and chronically infected individuals in a population whose total size is allowed to change.

  11. Relativistic models of magnetars: Nonperturbative analytical approach

    CERN Document Server

    Yazadjiev, Stoytcho

    2011-01-01

    In the present paper we focus on building simple nonperturbative analytical relativistic models of magnetars. With this purpose in mind we first develop a method for generating exact interior solutions to the static and axisymmetric Einstein-Maxwell-hydrodynamic equations with anisotropic perfect fluid and with pure poloidal magnetic field. Then using an explicit exact solution we present a simple magnetar model and calculate some physically interesting quantities as the surface elipticity and the total energy of the magnetized star.

  12. Flipped models in Trinification: A Comprehensive Approach

    CERN Document Server

    Rodríguez, Oscar; Ponce, William A; Rojas, Eduardo

    2016-01-01

    By considering the 3-3-1 and the left-right symmetric models as low energy effective theories of the trinification group, alternative versions of these models are found. The new neutral gauge bosons in the universal 3-3-1 model and its flipped versions are considered; also, the left-right symmetric model and the two flipped variants of it are also studied. For these models, the couplings of the $Z'$ bosons to the standard model fermions are reported. The explicit form of the null space of the vector boson mass matrix for an arbitrary Higgs tensor and gauge group is also presented. In the general framework of the trinification gauge group, and by using the LHC experimental results and EW precision data, limits on the $Z'$ mass and the mixing angle between $Z$ and the new gauge bosons $Z'$ are imposed. The general results call for very small mixing angles in the range $10^{-3}$ radians and $M_{Z'}$ > 2.5 TeV.

  13. Fractal approach to computer-analytical modelling of tree crown

    International Nuclear Information System (INIS)

    In this paper we discuss three approaches to the modeling of a tree crown development. These approaches are experimental (i.e. regressive), theoretical (i.e. analytical) and simulation (i.e. computer) modeling. The common assumption of these is that a tree can be regarded as one of the fractal objects which is the collection of semi-similar objects and combines the properties of two- and three-dimensional bodies. We show that a fractal measure of crown can be used as the link between the mathematical models of crown growth and light propagation through canopy. The computer approach gives the possibility to visualize a crown development and to calibrate the model on experimental data. In the paper different stages of the above-mentioned approaches are described. The experimental data for spruce, the description of computer system for modeling and the variant of computer model are presented. (author). 9 refs, 4 figs

  14. Manufacturing Excellence Approach to Business Performance Model

    Directory of Open Access Journals (Sweden)

    Jesus Cruz Alvarez

    2015-03-01

    Full Text Available Six Sigma, lean manufacturing, total quality management, quality control, and quality function deployment are the fundamental set of tools to enhance productivity in organizations. There is some research that outlines the benefit of each tool into a particular context of firm´s productivity, but not into a broader context of firm´s competitiveness that is achieved thru business performance. The aim of this theoretical research paper is to contribute to this mean and propose a manufacturing excellence approach that links productivity tools into a broader context of business performance.

  15. A fuzzy logic approach to modeling a vehicle crash test

    OpenAIRE

    Pawlus, Witold; Karimi, Hamid Reza; Robbersmyr, Kjell G.

    2012-01-01

    This paper presents an application of fuzzy approach to vehicle crash modeling. A typical vehicle to pole collision is described and kinematics of a car involved in this type of crash event is thoroughly characterized. The basics of fuzzy set theory and modeling principles based on fuzzy logic approach are presented. In particular, exceptional attention is paid to explain the methodology of creation of a fuzzy model of a vehicle collision. Furthermore, the simulation results are presented and...

  16. Towards MAV Autonomous Flight: A Modeling and Control Approach

    OpenAIRE

    Colorado Montaño, Julián

    2010-01-01

    This thesis is about modeling and control of miniature rotary-wing flying vehicles, with a special emphasis on quadrotor and coaxial systems. Mathematical models for simulation and nonlinear control approaches are introduced and subsequently applied to commercial aircrafts: the DraganFlyer and the Hummingbird quadrotors, which have been hardware-modified in order to perform experimental autonomous flying. Furthermore, a first-ever approach for modeling commercial micro coaxial mechanism is pr...

  17. Modelling and Analysis of Network Security - an Algebraic Approach

    OpenAIRE

    Qian ZHANG; Jiang, Ying; Wu, Peng

    2015-01-01

    Game theory has been applied to investigate network security. But different security scenarios were often modeled via different types of games and analyzed in an ad-hoc manner. In this paper, we propose an algebraic approach for modeling and analyzing uniformly several types of network security games. This approach is based on a probabilistic extension of the value-passing Calculus of Communicating Systems (CCS) which is regarded as a Generative model for Probabilistic Value-passing CCS (PVCC...

  18. The simplified models approach to constraining supersymmetry

    Energy Technology Data Exchange (ETDEWEB)

    Perez, Genessis [Institut fuer Theoretische Physik, Karlsruher Institut fuer Technologie (KIT), Wolfgang-Gaede-Str. 1, 76131 Karlsruhe (Germany); Kulkarni, Suchita [Laboratoire de Physique Subatomique et de Cosmologie, Universite Grenoble Alpes, CNRS IN2P3, 53 Avenue des Martyrs, 38026 Grenoble (France)

    2015-07-01

    The interpretation of the experimental results at the LHC are model dependent, which implies that the searches provide limited constraints on scenarios such as supersymmetry (SUSY). The Simplified Models Spectra (SMS) framework used by ATLAS and CMS collaborations is useful to overcome this limitation. SMS framework involves a small number of parameters (all the properties are reduced to the mass spectrum, the production cross section and the branching ratio) and hence is more generic than presenting results in terms of soft parameters. In our work, the SMS framework was used to test Natural SUSY (NSUSY) scenario. To accomplish this task, two automated tools (SModelS and Fastlim) were used to decompose the NSUSY parameter space in terms of simplified models and confront the theoretical predictions against the experimental results. The achievement of both, just as the strengths and limitations, are here expressed for the NSUSY scenario.

  19. Statistical modeling approach for detecting generalized synchronization.

    Science.gov (United States)

    Schumacher, Johannes; Haslinger, Robert; Pipa, Gordon

    2012-05-01

    Detecting nonlinear correlations between time series presents a hard problem for data analysis. We present a generative statistical modeling method for detecting nonlinear generalized synchronization. Truncated Volterra series are used to approximate functional interactions. The Volterra kernels are modeled as linear combinations of basis splines, whose coefficients are estimated via l(1) and l(2) regularized maximum likelihood regression. The regularization manages the high number of kernel coefficients and allows feature selection strategies yielding sparse models. The method's performance is evaluated on different coupled chaotic systems in various synchronization regimes and analytical results for detecting m : n phase synchrony are presented. Experimental applicability is demonstrated by detecting nonlinear interactions between neuronal local field potentials recorded in different parts of macaque visual cortex. PMID:23004851

  20. Performance modelling of barriers: A pragmatic approach

    International Nuclear Information System (INIS)

    In this article physical barriers to control migration of contaminants from abandoned nuclear sites are discussed. Modelling the performance and time behaviour of barriers against release and transport of radionuclides is difficult. Analysis of the long-term performance poses problems since the properties of the barrier may change in time. Due to the complexity of possible degradation processes, the few available data are highly empirical, making the prediction of the degradation as a function of time almost impossible. Our main objective was to find a model that is relatively easy to use and that can give results adequate for long-term radiological assessments

  1. New approaches for modeling type Ia supernovae

    International Nuclear Information System (INIS)

    Type Ia supernovae (SNe Ia) are the largest thermonuclear explosions in the Universe. Their light output can be seen across great distances and has led to the discovery that the expansion rate of the Universe is accelerating. Despite the significance of SNe Ia, there are still a large number of uncertainties in current theoretical models. Computational modeling offers the promise to help answer the outstanding questions. However, even with today's supercomputers, such calculations are extremely challenging because of the wide range of length and timescales. In this paper, we discuss several new algorithms for simulations of SNe Ia and demonstrate some of their successes

  2. Prediction of altimetric sea level anomalies using time series models based on spatial correlation

    Science.gov (United States)

    Miziński, Bartłomiej; Niedzielski, Tomasz

    2014-05-01

    Sea level anomaly (SLA) times series, which are time-varying gridded data, can be modelled and predicted using time series methods. This approach has been shown to provide accurate forecasts within the Prognocean system, the novel infrastructure for anticipating sea level change designed and built at the University of Wrocław (Poland) which utilizes the real-time SLA data from Archiving, Validation and Interpretation of Satellite Oceanographic data (AVISO). The system runs a few models concurrently, and our ocean prediction experiment includes both uni- and multivariate time series methods. The univariate ones are: extrapolation of polynomial-harmonic model (PH), extrapolation of polynomial-harmonic model and autoregressive prediction (PH+AR), extrapolation of polynomial-harmonic model and self-exciting threshold autoregressive prediction (PH+SETAR). The following multivariate methods are used: extrapolation of polynomial-harmonic model and vector autoregressive prediction (PH+VAR), extrapolation of polynomial-harmonic model and generalized space-time autoregressive prediction (PH+GSTAR). As the aforementioned models and the corresponding forecasts are computed in real time, hence independently and in the same computational setting, we are allowed to compare the accuracies offered by the models. The objective of this work is to verify the hypothesis that the multivariate prediction techniques, which make use of cross-correlation and spatial correlation, perform better than the univariate ones. The analysis is based on the daily-fitted and updated time series models predicting the SLA data (lead time of two weeks) over several months when El Niño/Southern Oscillation (ENSO) was in its neutral state.

  3. A Reflective Approach to Model-Driven Web Engineering

    Science.gov (United States)

    Clowes, Darren; Kolovos, Dimitris; Holmes, Chris; Rose, Louis; Paige, Richard; Johnson, Julian; Dawson, Ray; Probets, Steve

    A reflective approach to model-driven web engineering is presented, which aims to overcome several of the shortcomings of existing generative approaches. The approach uses the Epsilon platform and Apache Tomcat to render dynamic HTML content using Epsilon Generation Language templates. This enables EMF-based models to be used as data sources without the need to pre-generate any HTML or dynamic script, or duplicate the contents into a database. The paper reports on our experimental results in using this approach for dynamically querying and visualising a very large military standard.

  4. Energy and development : A modelling approach

    NARCIS (Netherlands)

    van Ruijven, B.J.

    2008-01-01

    Rapid economic growth of developing countries like India and China implies that these countries become important actors in the global energy system. Examples of this impact are the present day oil shortages and rapidly increasing emissions of greenhouse gases. Global energy models are used explore p

  5. Comparison of conformal Toda model quantisation approaches

    Czech Academy of Sciences Publication Activity Database

    Zuevsky, Alexander

    Vol. 622. Bristol: IOP Publishing, 2015, 012003. ISSN 1742-6588. [3rd International Conference on Science & Engineering in Mathematics, Chemistry and Physics 2015 (ScieTech 2015). Bali (ID), 31.01.2015-01.02.2015] Institutional support: RVO:67985840 Keywords : Toda models Subject RIV: BA - General Mathematics http://iopscience.iop.org/1742-6596/622/1/012003

  6. Microscopic approach to the interacting boson model

    International Nuclear Information System (INIS)

    An attempt is made to calculate the parameters of the interacting boson model (IBM) microscopically, by truncating the shell model space to states composed of pairs of fermions coupled to angular momentum L=0 and 2. A new derivation of the number-operator approximation (NOA) of Otsuka and Arima is presented allowing a number-conserving treatment of pairing correlations in terms of one collective monopole pair S. Application of the NOA to Ni yields results that are in good agreement with exact shell model calculations. Using a finite boson representation the generalization to neutron-proton systems is made, and the Sm isotopes are calculated as a realistic example. Renormalization effects due to the g boson are considered and shown to be of minor importance in Sm. Finally, the truncated quadrupole-phonon model (TQM) interpretation of the IBM is investigated, with particular emphasis on its relation with the SD-pair picture. An explanation of the prolate-oblate transition in Pt and Os is given in terms of subshell effects. (author)

  7. Comparison of conformal Toda model quantisation approaches

    Czech Academy of Sciences Publication Activity Database

    Zuevsky, Alexander

    Vol. 622. Bristol : IOP Publishing, 2015, 012003. ISSN 1742-6588. [3rd International Conference on Science & Engineering in Mathematics, Chemistry and Physics 2015 (ScieTech 2015). Bali (ID), 31.01.2015-01.02.2015] Institutional support: RVO:67985840 Keywords : Toda models Subject RIV: BA - General Mathematics http://iopscience.iop.org/1742-6596/622/1/012003

  8. Energy and Development. A Modelling Approach

    International Nuclear Information System (INIS)

    Rapid economic growth of developing countries like India and China implies that these countries become important actors in the global energy system. Examples of this impact are the present day oil shortages and rapidly increasing emissions of greenhouse gases. Global energy models are used to explore possible future developments of the global energy system and identify policies to prevent potential problems. Such estimations of future energy use in developing countries are very uncertain. Crucial factors in the future energy use of these regions are electrification, urbanisation and income distribution, issues that are generally not included in present day global energy models. Model simulations in this thesis show that current insight in developments in low-income regions lead to a wide range of expected energy use in 2030 of the residential and transport sectors. This is mainly caused by many different model calibration options that result from the limited data availability for model development and calibration. We developed a method to identify the impact of model calibration uncertainty on future projections. We developed a new model for residential energy use in India, in collaboration with the Indian Institute of Science. Experiments with this model show that the impact of electrification and income distribution is less univocal than often assumed. The use of fuelwood, with related health risks, can decrease rapidly if the income of poor groups increases. However, there is a trade off in terms of CO2 emissions because these groups gain access to electricity and the ownership of appliances increases. Another issue is the potential role of new technologies in developing countries: will they use the opportunities of leapfrogging? We explored the potential role of hydrogen, an energy carrier that might play a central role in a sustainable energy system. We found that hydrogen only plays a role before 2050 under very optimistic assumptions. Regional energy

  9. Integration models: multicultural and liberal approaches confronted

    Science.gov (United States)

    Janicki, Wojciech

    2012-01-01

    European societies have been shaped by their Christian past, upsurge of international migration, democratic rule and liberal tradition rooted in religious tolerance. Boosting globalization processes impose new challenges on European societies, striving to protect their diversity. This struggle is especially clearly visible in case of minorities trying to resist melting into mainstream culture. European countries' legal systems and cultural policies respond to these efforts in many ways. Respecting identity politics-driven group rights seems to be the most common approach, resulting in creation of a multicultural society. However, the outcome of respecting group rights may be remarkably contradictory to both individual rights growing out from liberal tradition, and to reinforced concept of integration of immigrants into host societies. The hereby paper discusses identity politics upturn in the context of both individual rights and integration of European societies.

  10. An integrated approach to modeling and adaptive control

    Institute of Scientific and Technical Information of China (English)

    HAN Zhi-gang

    2006-01-01

    In the book (Adaptive Identification,Prediction and Control-Multi Level Recursive Approach), the concept of dynamical linearization of nonlinear systems has been presented.This dynamical linearization is formal only,not a real linearization.From the linearization procedure,we can find a new approach of system identification,which is on-line real-time modeling and real-time feedback control correction.The modeling and real-time feedback control have been integrated in the identification approach,with the parameter adaptation model being abandoned.The structure adaptation of control systems has been achieved,which avoids the complex modeling steps.The objective of this paper is to introduce the approach of integrated modeling and control.

  11. Nuclear security assessment with Markov model approach

    International Nuclear Information System (INIS)

    Nuclear security risk assessment with the Markov model based on random event is performed to explore evaluation methodology for physical protection in nuclear facilities. Because the security incidences are initiated by malicious and intentional acts, expert judgment and Bayes updating are used to estimate scenario and initiation likelihood, and it is assumed that the Markov model derived from stochastic process can be applied to incidence sequence. Both an unauthorized intrusion as Design Based Threat (DBT) and a stand-off attack as beyond-DBT are assumed to hypothetical facilities, and performance of physical protection and mitigation and minimization of consequence are investigated to develop the assessment methodology in a semi-quantitative manner. It is shown that cooperation between facility operator and security authority is important to respond to the beyond-DBT incidence. (author)

  12. Monetary Policy Transmission in Vector Autoregressions: A New Approach Using Central Bank Communication

    OpenAIRE

    Neuenkirch, Matthias

    2011-01-01

    In this paper, we study the role played by central bank communication in monetary policy transmission. We employ the Swiss Economic Institute’s Monetary Policy Communicator to measure the future stance of the European Central Bank’s monetary policy. Our results indicate, first, that communication has an influence on inflation (expectations) similar to that of actual target rate changes. Communication also plays a noticeable role in the transmission of monetary policy to output. Consequently, ...

  13. Aid, fiscal policy and macroeconomy of Uganda: a cointegrated vector autoregressive (CVAR) approach

    OpenAIRE

    Bwire, Thomas

    2012-01-01

    While confronting the question of aid effectiveness, an important issue (but often ignored) in the context of a developing country like Uganda is which GDP measure would be most reliable as this is crucial for measuring the macroeconomic impact of aid. The most commonly used GDP measure in the aid-growth literature is typically from World Development Indicators (WDI) or Penn World Tables (PWT) (being considered the most reliable or the easiest to obtain). However, disparities in GDP from alte...

  14. Testing the Asymmetric Effects of Financial Conditions in South Africa: A Nonlinear Vector Autoregression Approach

    OpenAIRE

    Mehmet Balcilar; Kirsten Thompson; Rangan Gupta; Renee van Eyden

    2014-01-01

    The negative consequences of financial instability for the world economy during the recent financial crisis have highlighted the need for a better understanding of financial conditions. We use a financial conditions index (FCI) for South Africa previously constructed from 16 financial variables to test whether the South African economy responds in a nonlinear and asymmetric way to unexpected changes in financial conditions. To this end, we make use of a nonlinear logistic smooth transition ve...

  15. Colour texture segmentation using modelling approach

    Czech Academy of Sciences Publication Activity Database

    Haindl, Michal; Mikeš, Stanislav

    2005-01-01

    Roč. 3687, č. - (2005), s. 484-491. ISSN 0302-9743. [International Conference on Advances in Pattern Recognition /3./. Bath, 22.08.2005-25.08.2005] R&D Projects: GA MŠk 1M0572; GA AV ČR 1ET400750407; GA AV ČR IAA2075302 Institutional research plan: CEZ:AV0Z10750506 Keywords : colour texture segmentation * image models * segmentation benchmark Subject RIV: BD - Theory of Information

  16. Tumour resistance to cisplatin: a modelling approach

    Science.gov (United States)

    Marcu, L.; Bezak, E.; Olver, I.; van Doorn, T.

    2005-01-01

    Although chemotherapy has revolutionized the treatment of haematological tumours, in many common solid tumours the success has been limited. Some of the reasons for the limitations are: the timing of drug delivery, resistance to the drug, repopulation between cycles of chemotherapy and the lack of complete understanding of the pharmacokinetics and pharmacodynamics of a specific agent. Cisplatin is among the most effective cytotoxic agents used in head and neck cancer treatments. When modelling cisplatin as a single agent, the properties of cisplatin only have to be taken into account, reducing the number of assumptions that are considered in the generalized chemotherapy models. The aim of the present paper is to model the biological effect of cisplatin and to simulate the consequence of cisplatin resistance on tumour control. The 'treated' tumour is a squamous cell carcinoma of the head and neck, previously grown by computer-based Monte Carlo techniques. The model maintained the biological constitution of a tumour through the generation of stem cells, proliferating cells and non-proliferating cells. Cell kinetic parameters (mean cell cycle time, cell loss factor, thymidine labelling index) were also consistent with the literature. A sensitivity study on the contribution of various mechanisms leading to drug resistance is undertaken. To quantify the extent of drug resistance, the cisplatin resistance factor (CRF) is defined as the ratio between the number of surviving cells of the resistant population and the number of surviving cells of the sensitive population, determined after the same treatment time. It is shown that there is a supra-linear dependence of CRF on the percentage of cisplatin-DNA adducts formed, and a sigmoid-like dependence between CRF and the percentage of cells killed in resistant tumours. Drug resistance is shown to be a cumulative process which eventually can overcome tumour regression leading to treatment failure.

  17. Tumour resistance to cisplatin: a modelling approach

    International Nuclear Information System (INIS)

    Although chemotherapy has revolutionized the treatment of haematological tumours, in many common solid tumours the success has been limited. Some of the reasons for the limitations are: the timing of drug delivery, resistance to the drug, repopulation between cycles of chemotherapy and the lack of complete understanding of the pharmacokinetics and pharmacodynamics of a specific agent. Cisplatin is among the most effective cytotoxic agents used in head and neck cancer treatments. When modelling cisplatin as a single agent, the properties of cisplatin only have to be taken into account, reducing the number of assumptions that are considered in the generalized chemotherapy models. The aim of the present paper is to model the biological effect of cisplatin and to simulate the consequence of cisplatin resistance on tumour control. The 'treated' tumour is a squamous cell carcinoma of the head and neck, previously grown by computer-based Monte Carlo techniques. The model maintained the biological constitution of a tumour through the generation of stem cells, proliferating cells and non-proliferating cells. Cell kinetic parameters (mean cell cycle time, cell loss factor, thymidine labelling index) were also consistent with the literature. A sensitivity study on the contribution of various mechanisms leading to drug resistance is undertaken. To quantify the extent of drug resistance, the cisplatin resistance factor (CRF) is defined as the ratio between the number of surviving cells of the resistant population and the number of surviving cells of the sensitive population, determined after the same treatment time. It is shown that there is a supra-linear dependence of CRF on the percentage of cisplatin-DNA adducts formed, and a sigmoid-like dependence between CRF and the percentage of cells killed in resistant tumours. Drug resistance is shown to be a cumulative process which eventually can overcome tumour regression leading to treatment failure

  18. A model approach to climate change

    International Nuclear Information System (INIS)

    The Earth is warming up, with potentially disastrous consequences. Computer climate models based on physics are our best hope of predicting and managing climate change, as Adam Scaife, Chris Folland and John Mitchell explain. This month scientists from over 60 nations on the Intergovernmental Panel on Climate Change (IPCC) released the first part of their latest report on global warming. In the report the panel concludes that it is very likely that most of the 0.5 deg. C increase in global temperature over the last 50 years is due to man-made emissions of greenhouse gases. And the science suggests that much greater changes are in store: by 2100 anthropogenic global warming could be comparable to the warming of about 6 deg. C since the last ice age. The consequences of global warming could be catastrophic. As the Earth continues to heat up, the frequency of floods and droughts is likely to increase, water supplies and ecosystems will be placed under threat, agricultural practices will have to be changed and millions of people may be displaced as the sea level rises. The global economy could also be severely affected. The scientific consensus is that the observed warming of the Earth during the past half-century is mostly due to human emissions of greenhouse gases. Predicting climate change depends on sophisticated computer models developed over the past 50 years. Climate models are based on the Navier-Stokes equations for fluid flow, which are solved numerically on a grid covering the globe. These models have been very successful in simulating the past climate, giving researchers confidence in their predictions. The most likely value for the global temperature increase by 2100 is in the range 1.4-5.8 deg. C, which could have catastrophic consequences. (U.K.)

  19. Machine Learning Approaches for Modeling Spammer Behavior

    OpenAIRE

    ISLAM, MD. SAIFUL; Mahmud, Abdullah Al; Islam, Md. Rafiqul

    2010-01-01

    Spam is commonly known as unsolicited or unwanted email messages in the Internet causing potential threat to Internet Security. Users spend a valuable amount of time deleting spam emails. More importantly, ever increasing spam emails occupy server storage space and consume network bandwidth. Keyword-based spam email filtering strategies will eventually be less successful to model spammer behavior as the spammer constantly changes their tricks to circumvent these filters. The evasive tactics t...

  20. A Conceptual Modelling Approach to Software Variability

    OpenAIRE

    Asikainen, Timo

    2008-01-01

    Variability is the ability of a system to be efficiently extended, changed, customised or configured for use in a particular context. Increasing amounts of variability are required of software systems. The number of possible variants of a software system may become very large, essentially infinite. Efficient methods for modelling and reasoning about software variability are needed and numerous such languages have been developed. Most of these languages either lack a solid conceptual foundatio...